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Modelling the implied probability of stock market movements

Glatzer, Ernst - 2003

Persistent link: https://www.econbiz.de/10013434536

Modelling the implied probability of stock market movements

Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003

Persistent link: https://www.econbiz.de/10001749468

Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008

Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180

Persistent link: https://www.econbiz.de/10009614494

Effects of the US stock market return and volatility on the VKOSPI

Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015

. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index … volatility process of the index, using augmented heterogeneous autoregressive (HAR) models with exogenous covariates. The results … macroeconomic variables explain the VKOSPI. More importantly, we find that the stock market return and implied volatility index of …

Persistent link: https://www.econbiz.de/10011376746

Pricing a bivariate option with copulas

Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10012253407

Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index

Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10012432624

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of …

Persistent link: https://www.econbiz.de/10012650140

Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies

Brière, Marie; Chancari, Kamal - In: Revue d'économie politique 114 (2004) 4, pp. 527-555

Persistent link: https://www.econbiz.de/10002233749

Schätzung erwarteter Aktienrenditen auf Basis von Fremdkapitalmärkten

Berg, Tobias; Willershausen, Timo - In: Kredit und Kapital 38 (2005) 3, pp. 435-465

Persistent link: https://www.econbiz.de/10003162848

Estimation of risk neutral measure for Polish stock market

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Persistent link: https://www.econbiz.de/10010468362