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Informative Option Portfolios in Unscented Kalman Filter Design for Affine Jump Diffusion Models

Orłowski, Piotr - 2020

Option pricing models are tools for pricing and hedging derivatives. Good models are complex and the econometrician faces many design decisions when bringing them to the data. I show that strategically constructed low-dimensional filter designs outperform those that try to use all the available...

Persistent link: https://www.econbiz.de/10012842894

Informative option portfolios in filter design for option pricing models

Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965

Persistent link: https://www.econbiz.de/10012515627

Gold price risk management through Nova 3 option strategy created by barrier options

Šoltés, Michal; Harčariková, Monika - In: Investment management and financial innovations 13 (2016) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10011630674

Investing in gold : individual asset risk in the long run

Michis, Antonis A. - In: Finance research letters 11 (2014) 4, pp. 369-374

Persistent link: https://www.econbiz.de/10011300440

A wavelet approach of investing behaviors and their effects on risk exposures

Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37

-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold … possibilities. In the short-run, ("Noise Trader" and "High-Frequency Trader") only a few equities are insensitive to Oil and Gold … the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta …

Persistent link: https://www.econbiz.de/10012500129