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Modelling the implied probability of stock market movements
Glatzer, Ernst - 2003
Persistent link: https://www.econbiz.de/10013434536
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Modelling the implied probability of stock market movements
Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003
Persistent link: https://www.econbiz.de/10001749468
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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …
Persistent link: https://www.econbiz.de/10012650140
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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Hedging under alternative stickiness assumptions : an emperical analysis for barrier options
Engelmann, Bernd; Fengler, Matthias R.; Schwendner, Peter - In: Journal of risk 12 (2009/10) 1, pp. 53-77
Persistent link: https://www.econbiz.de/10003900335
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …
Persistent link: https://www.econbiz.de/10009612026
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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
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Messung und Prognose von Volatilitäten am Beispiel des DAX-Index
Sautter, Jörg - 1996 - 1. Aufl
Persistent link: https://www.econbiz.de/10000937935
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Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M Euribor futures option prices
Bødskov Andersen, Allan (contributor);  … - 2002 - [Elektronische Ressource]
from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …
Persistent link: https://www.econbiz.de/10001723101
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869