Showing 1 - 10 of 3,084
The slope of the implied volatility term structure is positively related to future option returns. We rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform...
Persistent link: https://www.econbiz.de/10013008475
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
results show, however, that our results can be explained by the hedging costs of market makers who are net long in options on …
Persistent link: https://www.econbiz.de/10011539242
The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...
Persistent link: https://www.econbiz.de/10011539634
The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of...
Persistent link: https://www.econbiz.de/10011476547
This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...
Persistent link: https://www.econbiz.de/10011958447
and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday seasonality, dynamic …
Persistent link: https://www.econbiz.de/10013334805
In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...
Persistent link: https://www.econbiz.de/10010226884
Persistent link: https://www.econbiz.de/10011929375
Persistent link: https://www.econbiz.de/10013461338