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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285

Valuing Real Options in the Volatile Real World - A Generalized Implied Binomial Tree Approach

Harikae, Seiji - 2018

dramatic volatility and project values can become negative, this paper presents a generalized framework for solving a …

Persistent link: https://www.econbiz.de/10012929117

Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … provide all the information required for estimating how the standard deviation and volatility of the stochastic process change …

Persistent link: https://www.econbiz.de/10013123815

Optimal Hedging Strategies for Options in Electricity Futures Markets

Hess, Markus - 2021

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

Persistent link: https://www.econbiz.de/10013232821

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Persistent link: https://www.econbiz.de/10011333083

Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options

Post, Thierry - 2023

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …

Persistent link: https://www.econbiz.de/10014351229

The Effect of Option-implied Skewness on Delta- and Vega-Hedged Option Returns

Borochin, Paul - 2020

We study the relation between option-implied skewness (IS) and the cross-section of option returns under daily hedging to better understand the pricing of skewness in isolation from lower moments. Creating portfolios of delta-hedged (D-hedged) and delta-vega-hedged (DV-hedged) options with daily...

Persistent link: https://www.econbiz.de/10012848466

Valuation of VIX and Target Volatility Options with Affine GARCH Models

Cao, Hongkai - 2020

VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian …

Persistent link: https://www.econbiz.de/10012828387

Implied Volatilities for Options on Backward-Looking Term Rates

Hofmann, Karl F. - 2020

volatility on backward-looking term rates …

Persistent link: https://www.econbiz.de/10012834974