Similar Search Results

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

Persistent link: https://www.econbiz.de/10012775913

The Predictive Content of Commodity Futures

Chinn, Menzie David - 2010

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot...

Persistent link: https://www.econbiz.de/10013146511

Financialization in Commodity Markets

Chari, Varadarajan V. - 2017

an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

Persistent link: https://www.econbiz.de/10012948088

Option-Based Credit Spreads

Culp, Christopher L. - 2014

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate...

Persistent link: https://www.econbiz.de/10013039754

The Economics of Options-Implied Inflation Probability Density Functions

Kitsul, Yuriy - 2012

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...

Persistent link: https://www.econbiz.de/10013104396

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence

Constantinides, George M. - 2014

American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations...

Persistent link: https://www.econbiz.de/10013069352

Limited Arbitrage and Short Sales Restrictions : Evidence from the Options Markets

Ofek, Eli - 2009

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...

Persistent link: https://www.econbiz.de/10012767791

On the Determinants of the Value of Call Options on Default-Free Bonds

Buser, Stephen Aubrey - 2008

Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also …

Persistent link: https://www.econbiz.de/10012774565

The Supply and Demand of S&P 500 Put Options

Constantinides, George M. - 2015

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …

Persistent link: https://www.econbiz.de/10013022917

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

Persistent link: https://www.econbiz.de/10013224964