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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
volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
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
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …
Persistent link: https://www.econbiz.de/10011506354
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How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock options, equity returns, and interest rates. …
Persistent link: https://www.econbiz.de/10010292171
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Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10003376011
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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964
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A Review on Implied Volatility Calculation
Orlando, Giuseppe - 2017
This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …
Persistent link: https://www.econbiz.de/10012960021
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An Alternative Approach to Fast Implied Volatility Calculation
Orlando, Giuseppe - 2014
determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value …
Persistent link: https://www.econbiz.de/10013060651