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Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
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The term structure of option-implied volatility and future realized volatility
Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022
Persistent link: https://www.econbiz.de/10012211068
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Pricing and hedging wind power prediction risk with binary option contracts
Thakur, Jagruti; Hesamzadeh, Mohammad Reza; Date, Paresh; … - In: Energy economics 126 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014483492
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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The information content of financial derivatives : empirical evidence
Wipplinger, Evert - 2013
Persistent link: https://www.econbiz.de/10010190940
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Essays on the pricing, hedging and informational content of options
Horn, David - 2011
Persistent link: https://www.econbiz.de/10009378786
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Forecast based pricing of weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012
interesting for investors and issuers of weather contracts to take advantages of geographic diversification, hedging effects and …
Persistent link: https://www.econbiz.de/10009511156
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Meteorological forecasts and the pricing of weather derivatives
Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010
forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard … derivative pricing and is able to estimate the information gain compared to a benchmark model without meteorological forecasts …
Persistent link: https://www.econbiz.de/10008663382
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Information content of option prices : comparing analyst forecasts to option-based forecasts
Sanford, Anthony - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014581049
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Informativeness of truncation in the options market
Lee, Geul; Ryu, Doojin; Yang, Li - In: Finance research letters 72 (2025), pp. 1-6
Persistent link: https://www.econbiz.de/10015176872