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1
How Much Would You Pay to Resolve
Volatility
Risk in Agricultural Commodity Markets?
Yan, Lei
-
2019
This article investigates the pricing of
volatility
risk in agricultural commodity markets. We show theoretically that … the cost of bearing
volatility
risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid
volatility
risk. Second,
volatility
risk is priced mainly at short maturities …
Persistent link: https://www.econbiz.de/10012889824
Saved in:
2
The pricing kernel puzzle : a behavioral explanation
Siddiqi, Hammad
;
Quiggin, John C.
- In:
Cogent economics & finance
7
(
2019
)
1
,
pp. 1-20
We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing...
Persistent link: https://www.econbiz.de/10014232619
Saved in:
3
Pricing
Volatility
Options Under Stochastic Skew with Application to the VIX Index
Marabel Romo, Jacinto
-
2015
In recent years there has been a remarkable growth of
volatility
options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping
volatility
skew and the shape of the skew is largely … independent of the
volatility
level. To take into account these stylized facts, this article introduces a novel two …
Persistent link: https://www.econbiz.de/10013033193
Saved in:
4
Speculative behavior and the dynamics of interacting stock markets
Schmitt, Noemi
;
Westerhoff, Frank H.
-
2013
and crashes, fat-tailed return distributions,
volatility
clustering, persistent trading volume, coevolving stock prices …
Persistent link: https://www.econbiz.de/10010204792
Saved in:
5
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer
;
Veith, Jochen
-
2006
Inspired by the
theory
of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …
Persistent link: https://www.econbiz.de/10010301798
Saved in:
6
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
-
2010
along with the specification of (a) the initial density, and (b) the
volatility
structure of the density. The
volatility
…
Persistent link: https://www.econbiz.de/10008797695
Saved in:
7
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
Saved in:
8
Why Do Price and
Volatility
Information from the Options Market Predict Stock Returns?
Muravyev, Dmitriy
-
2020
The option implied
volatility
spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the
volatility
spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the
volatility
spread and skew predict returns because they proxy for …
Persistent link: https://www.econbiz.de/10012855076
Saved in:
9
Volatility
, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can
;
Martin, Ian
-
2021
closely and has certain other advantages. Second, we introduce a
volatility
index that provides a lower bound on the market …
Persistent link: https://www.econbiz.de/10012489383
Saved in:
10
Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri
;
Stockermans, Christopher
-
2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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