Ibex 35 Option Pricing Under Alternative Models

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Ibex 35 Option Pricing Under Alternative Models

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Author : Juan Manuel Prado Enrico
language : en
Publisher:
Release Date : 2005

Ibex 35 Option Pricing Under Alternative Models written by Juan Manuel Prado Enrico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Derivatives Pricing And Modeling

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Author : Jonathan Batten
language : en
Publisher: Emerald Group Publishing
Release Date : 2012-07-02

Derivatives Pricing And Modeling written by Jonathan Batten and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-02 with Business & Economics categories.

Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.

Analysing Intraday Implied Volatility For Pricing Currency Options

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Author : Thi Le
language : en
Publisher: Springer Nature
Release Date : 2021-04-13

Analysing Intraday Implied Volatility For Pricing Currency Options written by Thi Le and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-13 with Business & Economics categories.

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Journal Of Empirical Finance

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Author :
language : en
Publisher:
Release Date : 2002

Journal Of Empirical Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Econometrics categories.

Implied Volatility Functions

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Author : Bernard Dumas
language : en
Publisher:
Release Date : 1996

Implied Volatility Functions written by Bernard Dumas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Options (Finance) categories.

Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.

Cuadernos Econ Micos De Ice

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Author :
language : es
Publisher:
Release Date : 2005

Cuadernos Econ Micos De Ice written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Economics categories.

Journal Of Banking Finance

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Author :
language : en
Publisher:
Release Date : 1999

Journal Of Banking Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Banks and banking categories.

The Management Accountant

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Author :
language : en
Publisher:
Release Date : 2007

The Management Accountant written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Cost accounting categories.

Aanwinsten Van De Centrale Bibliotheek Queteletfonds

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Author : Bibliothèque centrale (Fonds Quetelet)
language : en
Publisher:
Release Date : 2002

Aanwinsten Van De Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

Quantitative Methods For Economics And Finance

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Author : J.E. Trinidad-Segovia
language : en
Publisher: MDPI
Release Date : 2021-02-12

Quantitative Methods For Economics And Finance written by J.E. Trinidad-Segovia and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-12 with Business & Economics categories.

This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.