Narrow search
Showing 1 - 10 of 5,342
Cover Image
An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
Cover Image
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
Cover Image
The lead-lag relation between spot and option markets and implied volatility in option prices
Boyle, Phelim P.; Byoun, Soku; Park, Hun Y. - In: Research in finance 19 (2002), pp. 269-284
Persistent link: https://www.econbiz.de/10001717576
Cover Image
Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
Cover Image
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
Cover Image
Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - 2008
Persistent link: https://www.econbiz.de/10003791478
Cover Image
Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: The review of financial studies 22 (2009) 3, pp. 1247-1277
Persistent link: https://www.econbiz.de/10003827736
Cover Image
Mispricing of S&P 500 index options
Kōnstantinidēs, Giōrgos (contributor);  … - 2005
incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility … options being either underpriced over 1988-1995, or overpriced over 1997-2002. -- Derivative pricing ; volatility smile …
Persistent link: https://www.econbiz.de/10003222135
Cover Image
Forecasting performance of volatility models for pricing S&P CNX Nifty index options via Black-Scholes model
Singh, Vipul Kumar; Ahmad, Naseem - In: The IUP journal of applied finance : IJAF 17 (2011) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10009270171
Cover Image
Factors explaining movements in the implied volatility surface
Mixon, Scott - In: The journal of futures markets 22 (2002) 10, pp. 915-937
Persistent link: https://www.econbiz.de/10001696748