Narrow search
Showing 1 - 10 of 4,054
Cover Image
Risk contribution is exposure times volatility times correlation : decomposing risk using the x-sigma-rho formula
Menchero, Jose; Davis, Benjamin - In: The journal of portfolio management : a publication of … 37 (2010/11) 2, pp. 97-106
Persistent link: https://www.econbiz.de/10009273909
Cover Image
A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
Cover Image
Intraday and weekend volatility patterns : implications for option pricing
Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001557353
Cover Image
Time Dependent Volatility in Futures Contract Options
Chen, Jilong - 2018
In this paper a pricing formula is derived for futures options in Schwartz 1997 two factor model with time dependent … can be used to find backwards the results of time dependent spot volatility with a few market data. The results of time … dependent spot volatility can be easily and quickly obtained in Matlab. We also explain why the result of time dependent spot …
Persistent link: https://www.econbiz.de/10012930107
Cover Image
Option-Based Volatility Timing
Kita, Arben; Ronchetti, Diego; Zhang, Yue - 2023
We show that a volatility-managed strategy using equity options provides higher alphas, increases Sharpe ratios, and generates significant utility gains for investors, exceeding those of the statistical volatility-managed counterparts. Return and volatility expectations embedded in options...
Persistent link: https://www.econbiz.de/10014355906
Cover Image
A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility
Zhu, Song-Ping; Lian, Guanghua - 2012
models based on the assumption of continuous sampling time, the current research of working out a closed-form exact solution … validity of using a continuous-sampling-time approximation for variance swaps of relatively short sampling period; (ii) to …
Persistent link: https://www.econbiz.de/10014188377
Cover Image
Overreaction and seasonality in Asian stock indices : evidence from Korea, Hong Kong and Japan
Schaub, Mark; Lee, Bun-song; Chun, Sun Eae - In: Research in finance 24 (2008), pp. 169-195
Persistent link: https://www.econbiz.de/10003752947
Cover Image
Can time-varying risk of rare disasters explain aggregate stock market volatility
Wachter, Jessica - 2008
Persistent link: https://www.econbiz.de/10003763502
Cover Image
Month-related seasonality of stock price volatility : evidence from the Malta Stock Exchange
Camilleri, Silvio John - In: Bank of Valletta review (2008) 37, pp. 49-65
Persistent link: https://www.econbiz.de/10003767416
Cover Image
Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786