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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based
Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121
Persistent link: https://www.econbiz.de/10012587118
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Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung
Adam, Michael; Adam, Michael E. H. - 2001
Persistent link: https://www.econbiz.de/10001629302
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074
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On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Padhi, Puja; Shaikh, Imlak - In: Journal of business economics and management 15 (2014) 5, pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Nearest Neighbor Predictions of Realized Volatility for S&P 100 Options Trading
Andrada-Felix, Julian - 2019
The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …
Persistent link: https://www.econbiz.de/10012905360
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Application of ARCH and GARCH Models to Test the Implied Volatility of a 3 – Month Nordea Bank Call Option Contract
Guirguis, Michel - 2019
implied volatility of a 3 – month Nordea bank call option contract returns, for changing conditional variances to spot any …
Persistent link: https://www.econbiz.de/10012890763