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Understanding foreign exchange option returns : the information content of volatility

Kermiche, Lamya; Dupuy, Philippe - In: The journal of applied business research 32 (2016) 2, pp. 439-448

Persistent link: https://www.econbiz.de/10011500530

A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

Persistent link: https://www.econbiz.de/10011506359

Forecasting with option-implied information

Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2013

Persistent link: https://www.econbiz.de/10011507021

Multi-criteria classification for pricing European options

Gradojevic, Nikola - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 2, pp. 123-139

Persistent link: https://www.econbiz.de/10011507441

A two-factor cointegrated commodity price model with an application to spread option pricing

Farkas, Walter; Gourier, Elise; Huitema, Robert; … - 2016 - This version: May 20, 2016

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

Persistent link: https://www.econbiz.de/10011507774

Implied volatility and the risk-free rate of return in options markets

Bianconi, Marcelo; McLachlan, Scott; Sammon, Marco - In: The North American journal of economics and finance : a … 31 (2015), pp. 1-26

Persistent link: https://www.econbiz.de/10011511024

General optimized lower and upper bounds for discrete and continuous arithmetic Asian options

Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559

Persistent link: https://www.econbiz.de/10011520483

Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices

Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274

Persistent link: https://www.econbiz.de/10011557143

Survey sentiment and interest rate option smile

Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: International review of economics & finance : IREF 37 (2015), pp. 125-137

Persistent link: https://www.econbiz.de/10011538263

Determining pledged loan-to-value ratio: an option pricing perspective

Zhang, Ran; Zhang, Jing; Xu, Shuang - In: Financial innovation : FIN 1 (2015) 16, pp. 1-13

decided by term, excessreturn, and the value volatility of the pledge. Next, we extended the same work to coupon loan and … loan-to-value ratio is a concave decreasing function of the value volatility of the pledge; and the pledged loan …

Persistent link: https://www.econbiz.de/10011541978