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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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Stock price jumps and their impact on option valuation
Trautmann, Siegfried; Beinert, Michaela - 1994
Persistent link: https://www.econbiz.de/10000910708
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Frictions, intermediaries, and the option market
Hofmann, Michael - 2019
Persistent link: https://www.econbiz.de/10012018984
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Quantification of feedback effects in FX options markets
Anderegg, Benjamin; Sornette, Didier; Ulmann, Florian … - 2019
Persistent link: https://www.econbiz.de/10012026522
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Early exercise decision in American options with dividends, stochastic volatility and jumps
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016
volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …
Persistent link: https://www.econbiz.de/10011625896
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10009700000
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Modeling and predicting the market volatility index : the case of VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10010478493
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Price discovery for options
Malamud, Semyon; Tseng, Michael; Zhang, Yuan - 2020
return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …
Persistent link: https://www.econbiz.de/10012271186