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Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data
Ielpo, Florian; Sévi, Benoît - 2014
Persistent link: https://www.econbiz.de/10010432122
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Market expectations and probability distributions implicit in option prices
McIntyre, Michael; Nitani, Miwako - In: International business and economics research journal 3 (2004) 10, pp. 17-30
Persistent link: https://www.econbiz.de/10002518130
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Implied volatility and skewness surface
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo - In: Review of derivatives research 20 (2017) 2, pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Index options realized returns distributions from passive investment strategies
Dapena, José P.; Siri, Julian R. - 2015
Few papers provide research about options returns, and the few available are focused in the analysis from the perspective of the long side of the option contract, i.e. the buyer that pays the price and her expected and realized option return. The main point of our research work is to provide a...
Persistent link: https://www.econbiz.de/10011392693
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Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data
Kim, Sol; Lee, Geul - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 403-432
Persistent link: https://www.econbiz.de/10009388576
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Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10009614494
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The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
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Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 907-935
Persistent link: https://www.econbiz.de/10011595494