This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Este trabajo presenta la estructura temporal de un índice de volatilidad para la industria bancaria española (SBVX). El índice se calcula a partir de la volatilidad implícita de cada uno de los bancos y de la prima de riesgo de correlación del mercado. Empleando cotizaciones diarias desde...

We investigate whether dividends convey information about the risk of a company by examining the reaction of implied volatility in the option market to the announcement of a dividend initiation. Implied volatility decreases after the announcement and the magnitude of the decline in volatility is...