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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …
Persistent link: https://www.econbiz.de/10003636657
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Quantifying the variance risk premium in VIX options
Barnea, Amir; Hogan, Reed - In: The journal of portfolio management : a publication of … 38 (2012) 3, pp. 143-148
Persistent link: https://www.econbiz.de/10009669616
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
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The options market response to accounting earnings announcements
Truong, Cameron; Corrado, Charles Joseph; Chen, Yangyang - In: Journal of international financial markets, … 22 (2012) 3, pp. 423-450
Persistent link: https://www.econbiz.de/10009623553
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Trading VIX derivatives : trading and hedging strategies using VIX futures, options, and exchange-traded notes
Rhoads, Russell - 2011
market volatility index. The book will explain the mechanics and strategies associated with trading VIX options, futures …"Trading VIX Derivatives will be a comprehensive book covering all aspects of the Chicago Board Options Exchange stock …, exchange trading notes and options on exchange traded notes. Known as the "fear index" the VIX provides a snapshot of …
Persistent link: https://www.econbiz.de/10009311046
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Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-104
Persistent link: https://www.econbiz.de/10003807531
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
underlying and in fact also on the probability distributions of future events, the focus of the present study is on options. …
Persistent link: https://www.econbiz.de/10009700000
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Stock price response to S&P 500 index inclusions : do options listings and options trading volume matter?
Chen, Yangyang; Koutsantony, Constantine; Truong, Cameron; … - In: Journal of international financial markets, … 23 (2013), pp. 379-401
Persistent link: https://www.econbiz.de/10009707491