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Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011984997
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011958447
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
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The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Ederington, Louis H.; Guan, Wei - In: Journal of Banking & Finance 37 (2013) 9, pp. 3388-3400
all, of the variations in excess kurtosis and multi-period skewness across different markets. …
Persistent link: https://www.econbiz.de/10010682608
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...
Persistent link: https://www.econbiz.de/10011208297
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Portfolio Management Framework for Derivative Instruments
Vorobets, Anton - 2022
The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...
Persistent link: https://www.econbiz.de/10014236873
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On Smile and Skewness
Platen, Eckhard; Schweizer, Martin - University of Bonn, Germany - 1994
This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …
Persistent link: https://www.econbiz.de/10004968203
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From Skews to a Skewed-t
de Jong, de Jong, C.M.; Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2000
-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …
Persistent link: https://www.econbiz.de/10010731324
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Option Pricing under Discrete Shifts in Stock Returns
Chourdakis, Kyriakos; Tzavalis, Elias - School of Economics and Finance, Queen Mary - 2000
In this paper we introduce a pricing model for a European call option when the price of the underlying stock (asset) follows a random walk with Markov chain type of shifts in the drift and volatility parameters according to the regime that the stock market lies in, at a given period of time. We...
Persistent link: https://www.econbiz.de/10005106317
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Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
de Vincent-Humphreys, Rupert; Noss, Joseph - Bank of England - 2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral’ probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse,...
Persistent link: https://www.econbiz.de/10009024818