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From Skews to a Skewed-t
Jong, C.M. de; Huisman, R. - Erasmus Research Institute of Management (ERIM), ERIM … - 2000
-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …
Persistent link: https://www.econbiz.de/10004969837
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An Improved Estimator For Black-Scholes-Merton Implied Volatility
Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Persistent link: https://www.econbiz.de/10010730867
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Level Shifts in Volatility and the Implied-Realized Volatility Relation
Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...
Persistent link: https://www.econbiz.de/10008549066
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Summary statistics of option-implied probability density functions and their properties
Lynch, Damien; Panigirtzoglou, Nikolaos - Bank of England - 2008
The statistics that summarise probability density functions(pdfs) implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. A time-series analysis of these statistics for equity index and...
Persistent link: https://www.econbiz.de/10008493887
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The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications
Li, Steven - School of Economics and Finance, Business School - 2003
This paper provides a more accurate formula for estimating the implied volatilities for at-the-money calls than the existing formula as developed previously by Brenner and Subrahmanyam (1988). New formulas are also given for estimating the implied volatilities of in- or out-of-the-money calls....
Persistent link: https://www.econbiz.de/10005181704
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On Smile and Skewness
Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994
This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …
Persistent link: https://www.econbiz.de/10004968203
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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …
Persistent link: https://www.econbiz.de/10010322178
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10010290353
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...
Persistent link: https://www.econbiz.de/10010290416
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Do Aussie markets smile? : implied volatility functions and determinants
Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163
Persistent link: https://www.econbiz.de/10011289355