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Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011984997
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011958447
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THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011 / CLASIFICACIÓN DE LAS SONRISAS DE VOLATILIDAD SEGÚN TRES PUNTOS DE...
García-Machado, Juan J.; Rybczynski, Jaroslaw - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011262769
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Summary statistics of option-implied probability density functions and their properties
Lynch, Damien; Panigirtzoglou, Nikolaos - Bank of England - 2008
The statistics that summarise probability density functions(pdfs) implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. A time-series analysis of these statistics for equity index and...
Persistent link: https://www.econbiz.de/10008493887
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"The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew."
Ying, John S.; Sternberg, Joel S. - Department of Economics, Lerner College of Business and … - 2005
the stock price process and test it on empirical data for four “momentum” stocks and their heavily traded options …
Persistent link: https://www.econbiz.de/10005695961
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...
Persistent link: https://www.econbiz.de/10011208297
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Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
Fortin, Rich; Maese, Judy - In: Journal of Small Business Finance 2 (1992) 1, pp. 39-52
This paper examines the impact of option listing in the NASDAQ equity market on the bid-ask spread of the underlying stock. We find that both the market adjusted percentage and dollar spreads decrease with option listing, which is consistent with a value enhancing impact of derivative security...
Persistent link: https://www.econbiz.de/10011310309
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Capital structure and financial flexibility: Expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10011380992
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Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability
Cao, Melanie - 1997
This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …
Persistent link: https://www.econbiz.de/10011940600
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Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation
Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...
Persistent link: https://www.econbiz.de/10014321750