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Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi; Lin, Yu-Cheng - In: Bulletin of applied economics 8 (2022) 1, pp. 121-148
Persistent link: https://www.econbiz.de/10013271045
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An essay on option prices
Lian, Lei - 2012
Persistent link: https://www.econbiz.de/10011819080
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The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns
Hu, Guanglian - 2019
primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …
Persistent link: https://www.econbiz.de/10012862697
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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Volatilitätsschwankungen und DAX-Optionen : Auswirkungen auf Bewertung und Risikomanagement
Bolek, Adam - 1999
Persistent link: https://www.econbiz.de/10000682737
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Collateral Smile
Leippold, Markus; Su, Lujing - 2011
prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
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Expectations hypothesis of the term structure of implied volatility : evidence from foreign currency and stock index options
Byoun, Soku; Kwok, Chuck C. Y.; Park, Hun Y. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 126-151
Persistent link: https://www.econbiz.de/10002221002
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Pricing of options under different volatility models
Herzberg, Markus (contributor);  … - 2004
volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …
Persistent link: https://www.econbiz.de/10002569929
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Three essays on the econometrics of options markets
Lazarov, Zdravetz N. - 2004
Persistent link: https://www.econbiz.de/10002613885
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Why is the index smile so steep?
Branger, Nicole; Schlag, Christian - In: Review of finance : journal of the European Finance … 8 (2004) 1, pp. 109-127
Persistent link: https://www.econbiz.de/10002390132