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Volatility discovery : can the CDS market beat the equity options market?

Forte, Santiago; Lovreta, Lidija - In: Finance research letters 28 (2019), pp. 107-111

Persistent link: https://www.econbiz.de/10012388022

Corridor volatility risk and expected returns

Dotsis, George; Vlastakis, Nikolaos - In: The journal of futures markets 36 (2016) 5, pp. 488-505

Persistent link: https://www.econbiz.de/10011568446

CDS inferred stock volatility

Guo, Biao - In: The journal of futures markets 36 (2016) 8, pp. 745-757

Persistent link: https://www.econbiz.de/10011568556

Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

López, Raquel - In: International review of financial analysis 42 (2015), pp. 292-303

Persistent link: https://www.econbiz.de/10011573500

Early exercise decision in American options with dividends, stochastic volatility and jumps

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016

American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is … volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …

Persistent link: https://www.econbiz.de/10011625896