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Predicting Inflation : Portfolio Erosion or Collapse?
Crawford, George - 2012
What is the probability of high inflation; how high, when? These questions are important to all investors since even … characterizes this as The War On Savers. Higher inflation is possible, at 4% or more, with even worse effects. There are heated … debates about the probability and timing of high inflation, but our review of the extensive literature reveals no reliable way …
Persistent link: https://www.econbiz.de/10013099903
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Meteorological forecasts and the pricing of weather derivatives
Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010
In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...
Persistent link: https://www.econbiz.de/10008663382
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009558308
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10010459730
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Forecasting with Option-Implied Information
Christoffersen, Peter - 2012
This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any forecasting object which is a twice differentiable function of...
Persistent link: https://www.econbiz.de/10013113347
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Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S&P 500 Options
Neumann, Michael - 2012
We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting...
Persistent link: https://www.econbiz.de/10013115379
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The Predictive Power of S&P 500 Option Prices and the Stock Market Crash of 2008-2009
Sfiridis, James M. - 2012
Option market prices have often been regarded as a window on investor sentiment about the future price behavior of the underlying asset. Such prices can be very different from model prices and have long been noted by implied volatility plots revealing “smiles” or “smirks”. In this paper...
Persistent link: https://www.econbiz.de/10013116037
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Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets
Wong, Alfred H.S. - 2011
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...
Persistent link: https://www.econbiz.de/10013121151
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Getting Real Forecasts, State Price Densities and Risk Premium from Euribor Options
Ivanova, Vesela - 2013
In this paper we study the development of interest rate risk premium and option implied state price densities in the Euribor futures option market. Using parametric and non-parametric statistical calibration, we transform the risk-neutral option implied densities for the Euribor futures rate...
Persistent link: https://www.econbiz.de/10013089617
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Predictability in Implied Volatility Surfaces : Evidence from the Euro OTC FX Market
Chalamandaris, George - 2014
Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by observed option prices. In this paper we investigate the predictability of surfaces, using extensive time series of implied volatilities from over-the-counter options on eight...
Persistent link: https://www.econbiz.de/10013066121