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Volatility model applications in China's SSE50 options market

Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720

Persistent link: https://www.econbiz.de/10013465807

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...

Persistent link: https://www.econbiz.de/10014235957

Option-implied physical distributions

McGee, Richard; Post, Thierry; Potì, Valerio - 2024

Persistent link: https://www.econbiz.de/10015197980

Essays in asset pricing

Orlowski, Piotr - 2017

Persistent link: https://www.econbiz.de/10011931494

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Analysis of market volatility via a dynamically purified option price process

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19

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An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets

Kearney, Fearghal; Murphy, Finbarr; Cummins, Mark - In: The North American journal of economics and finance : a … 33 (2015), pp. 199-216

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Forecasting price direction, hedging and spread options in oil volatility

Okonji, Eboka Andrew; Mary, Yerokun Oluwatoyin - In: International journal of economic behavior and … 5 (2017) 6, pp. 114-123

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Option pricing under time-varying risk-aversion with applications to risk forecasting

Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138

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Conditional-mean hedging under transaction costs in Gaussian models

Sottinen, Tommi; Viitasaari, Lauri - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011854596