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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

Persistent link: https://www.econbiz.de/10010256970

Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India

Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289

Persistent link: https://www.econbiz.de/10011430608

Capturing the volatility smile : parametric volatility models versus stochastic volatility models

Blanco, Belen - In: Public and municipal finance : PMF ; international … 5 (2016) 4, pp. 15-22

Persistent link: https://www.econbiz.de/10011776077

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

Persistent link: https://www.econbiz.de/10011825495

Preismodellierung und Derivatebewertung im Strommarkt : Theorie und Empirie

Seifert, Jan M. - 2010

Persistent link: https://www.econbiz.de/10015203862

Preismodellierung und Derivatebewertung im Strommarkt : Theorie und Empirie

Seifert, Jan M. - 2010

Persistent link: https://www.econbiz.de/10008663164

Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management

Ignatieva, Ekaterina - 2012

Persistent link: https://www.econbiz.de/10009548356

Valuation of Guaranteed contracts set relative to cross-currency stochastic rates of return

Hsieh, Tsung-yu; Chou, Chi-hsun; Chen, Son-nan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 589-619

Persistent link: https://www.econbiz.de/10010407421

Evaluation of options using the Black-Scholes methodology

Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65

This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather sophisticated equation. It is a partial...

Persistent link: https://www.econbiz.de/10012131594

Valuation and risk management in the Norwegian electricity market

Bjerksund, Petter (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001624529