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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000126342
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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Does options trading lead to greater cash market volatility?
Chatrath, Arjun - In: The journal of futures markets 15 (1995) 7, pp. 785-803
Persistent link: https://www.econbiz.de/10001190083
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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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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000767421
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Do liquidity and sampling methods matter in constructing volatility indices? : empirical evidence from Taiwan
Tzang, Shyh-weir; Hung, Chih-hsing; Wang, Chou-wen; … - In: International review of economics & finance : IREF 20 (2011) 2, pp. 312-324
Persistent link: https://www.econbiz.de/10009304121
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Investors' "fear" and "greed" index : a case India volatility index (IVIX)
Shaikh, Imlak; Padhi, Puja - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 216-228
Persistent link: https://www.econbiz.de/10011420288