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The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis

Pierdzioch, Christian - 2000

currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …

Persistent link: https://www.econbiz.de/10010260625

Equity Volatility Term Structures and the Cross-Section of Option Returns

Vasquez, Aurelio - 2016

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform...

Persistent link: https://www.econbiz.de/10013008475

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, Peter - 2017

index options. First, equity volatility increases proportionally with the level of financial leverage, the variation of …-section of equity index options in identifying the economic channels underlying the variations of the equity index and its …

Persistent link: https://www.econbiz.de/10012706677

The Factor Structure in Equity Options

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2013

Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first …

Persistent link: https://www.econbiz.de/10010851218

The imprecision of volatility indexes

Grover, Rohini; Shah, Ajay - Indira Gandhi Institute of Development Research (IGIDR) - 2014

Concerns about sampling noise arise when a VIX estimator is computed by aggregating several imprecise implied volatility estimates. We propose a bootstrap strategy to measure the imprecision of a model based VIX estimator. We find that the imprecision of VIX is economically significant. We...

Persistent link: https://www.econbiz.de/10010903915

Pricing CAC 40 Index Options under Asymmetry of Information

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10010905353

Modeling Volatility in Foreign Currency Option Pricing

Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational Finance Journal 13 (2009) 3-4, pp. 189-208

volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying …

Persistent link: https://www.econbiz.de/10010937155

The forecasting accuracy of implied volatility from ECX carbon options

Viteva, Svetlana; Veld-Merkoulova, Yulia V.; Campbell, Kevin - In: Energy Economics 45 (2014) C, pp. 475-484

This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …

Persistent link: https://www.econbiz.de/10010939429

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium

Gospodinov, Nikolay; Jamali, Ibrahim - In: Journal of Empirical Finance 19 (2012) 4, pp. 497-510

In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis...

Persistent link: https://www.econbiz.de/10010942975

Explaining the Smile in Currency Options: Is it Anchoring?

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2015

An anchoring adjusted currency option pricing formula is developed in which the risk of the underlying currency is used as a starting point which gets adjusted upwards to arrive at the currency call risk. Anchoring bias implies that such adjustments are insufficient. The new formula converges to...

Persistent link: https://www.econbiz.de/10011250911