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Vincent-Humphreys, Rupert de; Noss, Joseph - 2012

Persistent link: https://www.econbiz.de/10009559811

Performance of Black-Scholes model with TSRV estimates

Singh, Shivam; Vipul - In: Managerial finance 41 (2015) 8, pp. 857-870

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Testing Greeks and price changes in the S&P 500 options and futures contract : a regression analysis

Hilliard, Jitka - In: International review of financial analysis 26 (2013), pp. 51-58

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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

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Information content of derivatives under varying market conditions and moneyness : the case of S&P CNX Nifty Index options

Pathak, Rajesh; Bhattacharjee, Kaushik; Reddy, Nagi - In: Global business review 16 (2015) 2, pp. 281-302

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Volatility models for cryptocurrencies and applications in the options market

Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19

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Implied volatility estimation of bitcoin options and the stylized facts of option pricing

Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30

trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …

Persistent link: https://www.econbiz.de/10012617423

A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

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