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Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G. - 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/10012465200

The Predictive Content of Commodity Futures

Chinn, Menzie D. - 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/10012462821

Financialization in Commodity Markets

Chari, V.V. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012453945

Investor Behavior in the Option Market

Lakonishok, Josef - 2004

This paper investigates the behavior of investors in the equity option market using a unique and detailed dataset of open interest and volume for all contracts listed on the Chicago Board Options Exchange over the 1990 through 2001 period. We document major stylized facts about the option market...

Persistent link: https://www.econbiz.de/10012468429

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

Ofek, Eli - 2003

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/10012469280

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 spreads,...

Persistent link: https://www.econbiz.de/10012457890

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/10012460465

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

Constantinides, George M. - 2010

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/10012462355

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

Buser, Stephen A. - 1988

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

Persistent link: https://www.econbiz.de/10012476537

Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options

Bodie, Zvi - 1977

This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future...

Persistent link: https://www.econbiz.de/10012478918