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Forecasting fed cattle, feeder cattle, and corn cash price volatility : the accuracy of time series, implied volatility, and composite approaches
Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H. - In: Journal of agricultural and applied economics 33 (2001) 3, pp. 523-538
Persistent link: https://www.econbiz.de/10001651333
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Positive feedback trading in the options market
Tavakkol, Amir - In: Quarterly journal of business and economics : QJBE 39 (2000) 3, pp. 69-80
Persistent link: https://www.econbiz.de/10001583289
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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Marchés dérivés et trading de volatilité
Capelle-Blancard, Gunther - In: Revue économique : revue bimestrielle 54 (2003) 3, pp. 663-673
Persistent link: https://www.econbiz.de/10001765922
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Derivative Instrumente auf Volatilitäten an Aktien- und Optionsmärkten : eine theoretische und empirische Untersuchung
Henn, Eric Tobias - 2001
Persistent link: https://www.econbiz.de/10001768552
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Bewertung, Preischarakteristika und Risikomanagement von zinsderivativen Wertpapieren im Rahmen eines Einfaktormodelles
Bühler, Alfred - In: Finanzmarkt und Portfolio-Management 8 (1994) 4, pp. 468-498
Persistent link: https://www.econbiz.de/10001221023
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Valuing futures and options on volatility
Grünbichler, Andreas - In: Journal of banking & finance 20 (1996) 6, pp. 985-1001
Persistent link: https://www.econbiz.de/10001203103
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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2012
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013114231
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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2011
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013121295
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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …
Persistent link: https://www.econbiz.de/10012974407