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Predicting Option Model Performance : Price Fitting versus Efficiency Based Measures

Orbay, Berk - 2016

Choice of the performance metric is a crucial part of empirical assessment of option pricing model performance and benchmarking, mainly because the outcome is subject to change based on the metric. Usage of performance metrics in the empirical option pricing literature are examined and their...

Persistent link: https://www.econbiz.de/10012986370

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

Information content of option prices : comparing analyst forecasts to option-based forecasts

Sanford, Anthony - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014581049

China's carbon emission allowance prices forecasting and option designing in uncertain environment

Jia, Lifen; Chen, Wei - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 4, pp. 539-560

Persistent link: https://www.econbiz.de/10015079804

Interest rate forecasts, state price densities and risk premium from Euribor options

Ivanova, Vesela; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 48 (2014), pp. 210-223

Persistent link: https://www.econbiz.de/10010508142

The discontinuation of the EUR/CHF minimum exchange rate in January 2015 : was it expected?

Funke, Michael; Loermann, Julius; Moessner, Richhild - 2017

Persistent link: https://www.econbiz.de/10011758406

On the predictability of model-free implied correlation

Markopoulou, Chryssa; Skintzi, Vasiliki; Refenes, … - In: International journal of forecasting 32 (2016) 2, pp. 527-547

Persistent link: https://www.econbiz.de/10011597186

Learning and forecasts about option returns through the volatility risk premium

Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330

Persistent link: https://www.econbiz.de/10011915574

Probabilistic electricity price forecasting with Bayesian stochastic volatility models

Kostrzewski, Maciej; Kostrzewska, Jadwiga - In: Energy economics 80 (2019), pp. 610-620

Persistent link: https://www.econbiz.de/10012173697

Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2663-2683

Persistent link: https://www.econbiz.de/10012128877