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Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10003461175

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10003919376

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

Shackleton, Mark B.; Taylor, Stephen; Yu, Peng - In: Journal of banking & finance 34 (2010) 11, pp. 2678-2693

Persistent link: https://www.econbiz.de/10008858849

Human resource management

Torrington, Derek; Hall, Laura; Taylor, Stephen; … - 2011 - 8th ed.

Persistent link: https://www.econbiz.de/10008779761

Achieving a better work-life balance

Chesley, David; Taylor, Stephen - In: The business environment : themes and issues, (pp. 213-238). 2008

Persistent link: https://www.econbiz.de/10003596225

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

A novel reduction of the simple Asian option and lie-group invariant solutions

Taylor, Stephen; Glasgow, Scott - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1197-1212

Persistent link: https://www.econbiz.de/10003946588

Option prices and risk-neutral densities for currency cross rates

Taylor, Stephen; Wang, Yaw-huei - In: The journal of futures markets 30 (2010) 4, pp. 324-360

Persistent link: https://www.econbiz.de/10003962596

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881

Persistent link: https://www.econbiz.de/10003966119

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10003857823