und sich der Aufschlagsfaktor auf den Nennwert der Easy-Aktienanleihe zwischen -0,2 % und 2,3 % bewegt. Dieses Ergebnis … most plausible estimates for this volatility lie between 20 % and 25 %, implying a mark-up on the fair value of the 'Easy-Aktienanleihe …Dieser Aufsatz beschäftigt sich mit der fairen Bewertung einer von der Deutschen Bank AG emittierten Aktienanleihe mit …

In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The … that the proposed formula converges to the true implied volatility value. In numerical experiments, we verify the … stochastic volatility inspired (SVI) model, and the stochastic alpha beta rho (SABR) model. We also establish an explicit formula …

This paper applies GARCH models to ascertain the impact of index futures trading on the volatility of the spot market … volatility within the underlying spot market. In addition, the research verifies the sensitivity of price to information as well … as the impact the leverage effect may have on the degree and structure of volatility. As Australia is a commodity driven …

A key issue in understanding option pricing is the response of option implied volatility to macro …-economic announcements. We use high frequency data on ASX SPI 200 Index Options to examine the response of option implied volatility, as well … beliefs and preferences affect option implied volatility through the state price density function …

of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …