Essays On Volatilities Implied By Option Prices

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Essays On Volatilities Implied By Option Prices

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Author : Aamir Mohammad Sheikh
language : en
Publisher:
Release Date : 1987

Essays On Volatilities Implied By Option Prices written by Aamir Mohammad Sheikh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with categories.

Buprestidae I

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Author :
language : en
Publisher:
Release Date : 1926

Buprestidae I written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1926 with categories.

Three Essays On Option Implied Risk Measures And Equity Pricing

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Author : Bo-Young Chang
language : en
Publisher:
Release Date : 2010

Three Essays On Option Implied Risk Measures And Equity Pricing written by Bo-Young Chang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Essays On Volatility And Risk In Financial Markets

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Author : Kwanho Kim
language : en
Publisher:
Release Date : 1993

Essays On Volatility And Risk In Financial Markets written by Kwanho Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Euro-dollar market categories.

Le Juste Chastiment De Dieu Dans La Mort D Un Grenetier Pour Avoir Vendu Les Grains Trop Cher Laisser Moisir Plusieurs Pains

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Author :
language : en
Publisher:
Release Date : 1649

Le Juste Chastiment De Dieu Dans La Mort D Un Grenetier Pour Avoir Vendu Les Grains Trop Cher Laisser Moisir Plusieurs Pains written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1649 with categories.

Essays In Option Pricing

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Author : Klaus Bjerre Toft
language : en
Publisher:
Release Date : 1994

Essays In Option Pricing written by Klaus Bjerre Toft and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.

Essays On Market Microstructure And Options

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Author : Stkewart James Mayhew
language : en
Publisher:
Release Date : 1996

Essays On Market Microstructure And Options written by Stkewart James Mayhew and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Essays On The Impact Of Investors Speculation And Disagreements On Security Prices And Trading Volume

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Author : Siu Kai Choy
language : en
Publisher:
Release Date : 2011

Essays On The Impact Of Investors Speculation And Disagreements On Security Prices And Trading Volume written by Siu Kai Choy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Three Essays On Investments And Time Series Econometrics

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Author : Joshua Andrew Brooks
language : en
Publisher:
Release Date : 2015

Three Essays On Investments And Time Series Econometrics written by Joshua Andrew Brooks and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Electronic dissertations categories.

This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.

Essays In Volatility Modeling And Option Pricing

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Author : Mathieu Fournier
language : en
Publisher:
Release Date : 2014

Essays In Volatility Modeling And Option Pricing written by Mathieu Fournier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.