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Optionsbewertung bei stochastischer Volatilität
Nagel, Hartmut - 2001 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001530489
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An empirical comparison of alternative stochastic volatility models
Belledin, Michael; Schlag, Christian - 1999 - Current Version: June 1, 1999
Persistent link: https://www.econbiz.de/10001403468
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Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
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The Implied Volatility Term Structure of Stock Index Options
Mixon, Scott - 2011
This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …
Persistent link: https://www.econbiz.de/10013127950
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Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
Engle, Robert F. - 2010
In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....
Persistent link: https://www.econbiz.de/10012763182
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Market instability, investor sentiment, and probability judgment error in index option prices
Charles-Cadogan, G. - 2021
Persistent link: https://www.econbiz.de/10012817231
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Hedging Strategy Comparisons of Volatility Index Options Using Diffusion Models
Lin, Jun-Biao - 2016
With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random …
Persistent link: https://www.econbiz.de/10013003759
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Mark-to-Market Credit Index Option Pricing and Credit Volatility Index
Yang, Zhaoyang - 2015
replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index …
Persistent link: https://www.econbiz.de/10013021304
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Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options
Rathgeber, Andreas - 2018
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …
Persistent link: https://www.econbiz.de/10012932062
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Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...
Persistent link: https://www.econbiz.de/10013213854