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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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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10005750168
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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10010334336
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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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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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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MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY
DASH, JAN W. - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1287-1304
applications in finance are given, including options, models for credit risk and derivatives, and correlation sensitivities. …
Persistent link: https://www.econbiz.de/10004977433
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A refined approach to estimating the implied volatility
Wang, Guan Jun; Islam, Mazhar M.; Ngassam, Christopher - In: International Journal of Business Forecasting and … 1 (2009) 2, pp. 122-133
In this paper we used a refined approach to estimating the implied volatility from options price in the classic … and Miller (1996) which works well for the Index options with the present value of strike price being close to the index …
Persistent link: https://www.econbiz.de/10009359979
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Financial portfolio selection using the multifactor capital asset pricing model and imported options data
Dicle, Mehmet F. - In: Stata Journal 13 (2013) 3, pp. 603-617
, fetchyahoooptions, is provided to download and parse equity options data from Yahoo! Finance webpages and, optionally, to calculate the … implied volatilities for the downloaded options. Copyright 2013 by StataCorp LP. …
Persistent link: https://www.econbiz.de/10010691925