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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
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Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410
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Violations of put-call parity for CNX nifty index options : a study at national stock exchange
Nandan, Tanuj; Agrawal, Puja - In: Global review of business and economic research 10 (2014) 2, pp. 135-152
Persistent link: https://www.econbiz.de/10011343197
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Violations of put-call parity for CNX Nifty index options : a study at National Stock Exchange
Nandan, Tanuj; Agrawal, Puja - In: Global business & economics review 20 (2018) 4, pp. 485-502
Persistent link: https://www.econbiz.de/10012126516
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ITMs versus OTMs
Yoon, Sun-joong; Kang, So Hyun - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 517-539
Persistent link: https://www.econbiz.de/10009618794
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Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options
Rathgeber, Andreas - 2018
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …
Persistent link: https://www.econbiz.de/10012932062
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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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Asymmetry in option implied volatility and yield : Evidence from China's ETF options market1,2
Chen, Xiaoyijing; Liu, Siyuan; Xu, Zailin; Yu, Mei - In: Pacific-Basin finance journal 85 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014576054
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790