Similar Search Results

Index option trading and equity volatility : evidence from the SSE 50 and CSI 500 stocks

Sui, Cong; Lung, Peter P.; Yang, Mo - In: International review of economics & finance : IREF 73 (2021), pp. 60-75

Persistent link: https://www.econbiz.de/10012672300

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140

GARCH option pricing and implied FX volatility indices

Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52

Persistent link: https://www.econbiz.de/10013173960

Pricing a bivariate option with copulas

Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10012253407

Forecasting implied volatility risk indexes : international evidence using Hammerstein-ARX approach

Tissaoui, Kais - In: International review of financial analysis 64 (2019), pp. 232-249

Persistent link: https://www.econbiz.de/10012208480

Reasonable evaluation of VIX options for the Taiwan stock index

Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130

Persistent link: https://www.econbiz.de/10012120217

Are mispricings long-lasting or short-lived? : evidence from S & P 500 index ETF options

Jiao, Feng - In: Theoretical economics letters 8 (2018) 3, pp. 378-389

Persistent link: https://www.econbiz.de/10011822718

The dependence structure across oil, wheat, and corn : a wavelet-based copula approach using implied volatility indexes

Mensi, Walid; Tiwari, Aviral Kumar; Bouri, Elie; … - In: Energy economics 66 (2017), pp. 122-139

Persistent link: https://www.econbiz.de/10011896437

Construction of a volatility index from exchange-traded dollar-rupee options

Bhat, Aparna Prasad - In: Journal of Indian business research 14 (2022) 4, pp. 403-425

Persistent link: https://www.econbiz.de/10013537567

Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options

Post, Thierry - 2023

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …

Persistent link: https://www.econbiz.de/10014351229