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Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

Interpreting the volatility smile : an examination of the information content of option prices

Weinberg, Steven A. - 2001

Persistent link: https://www.econbiz.de/10001599795

Is there information in the volatility skew?

Doran, James S.; Peterson, David R.; Tarrant, Brian C. - In: The journal of futures markets 27 (2007) 10, pp. 921-959

Persistent link: https://www.econbiz.de/10003531001

Testing momentum effectfor the US market : from equity to option strategies

Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

Persistent link: https://www.econbiz.de/10011757486

The empirical performance of option-based densities of foreign exchange

Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542714

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...