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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
sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …
Persistent link: https://www.econbiz.de/10010337963
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
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10010472840
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …
Persistent link: https://www.econbiz.de/10010459730
I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that … have important implications for price discovery through options …
Persistent link: https://www.econbiz.de/10011296088
Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …
Persistent link: https://www.econbiz.de/10011646275
order book, using machine learning tools. The applicability of such tools on the options market is currently missing. On an … intraday tick-level dataset of options on an exchange traded fund from the Chinese market, we apply a variety of machine …
Persistent link: https://www.econbiz.de/10014636721
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
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