component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time and in the absence of a reversal, this wedge progressively disappears. This may be …

. In order to test the model's implications on expected volatility we compute option prices under the generated hazard … volatility in general is downward sloping and its overall level falls steadily over time, although it may exhibit initially a … hump shape in the case of very low initial reputation. In time series without a policy reversal, implied volatility from …

financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and … the Black-Scholes option pricing model, volatility of the underlying stock is the only unobservable variable, and has … attracted a large amount of attention of both academics and practitioners. This thesis is concerned with the implied volatility …

peaking is approached, liquid fuel prices and price volatility will increase dramatically, and, without timely mitigation, the …

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …