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Persistent link: https://www.econbiz.de/10003966444
We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...
Persistent link: https://www.econbiz.de/10012726851
We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...
Persistent link: https://www.econbiz.de/10012768233
This study examines whether conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market. The results indicate that a more general skewness‐based option‐pricing model can generate better trading performance for strip and strap...
Persistent link: https://www.econbiz.de/10011197597
Persistent link: https://www.econbiz.de/10008307124
Persistent link: https://www.econbiz.de/10008383690
Persistent link: https://www.econbiz.de/10003962606
This study examines whether conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market. The results indicate that a more general skewness-based option-pricing model can generate better trading performance for strip and strap trades....
Persistent link: https://www.econbiz.de/10013160431
Current research on stock returns indicates that neglecting conditional skewness may bias inferences about risk. In this paper, we examine if time-varying skewness in asset returnsexplains option mispricing. We model the temporal properties of the first three moments of asset returns, and devise...
Persistent link: https://www.econbiz.de/10012739559
We study the link between option prices and time-varying moments of the underlying asset returns. We focus on the role of conditional skewness for option trading. We model the temporal properties of the first three moments of asset returns, and devise trading rules that use volatility and...
Persistent link: https://www.econbiz.de/10012731408