Showing 1 - 10 of 5,011
closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …
Persistent link: https://www.econbiz.de/10012489383
We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...
Persistent link: https://www.econbiz.de/10011872403
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …
Persistent link: https://www.econbiz.de/10013121151
We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is transmitted via price jumps. Noise is idiosyncratic and does...
Persistent link: https://www.econbiz.de/10013124058
exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …
Persistent link: https://www.econbiz.de/10013111682
Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases … in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility … changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information …
Persistent link: https://www.econbiz.de/10012179498
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …
Persistent link: https://www.econbiz.de/10012932062
exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …
Persistent link: https://www.econbiz.de/10013094978
return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …
Persistent link: https://www.econbiz.de/10012271186
known announcements can produce significant distortions in option volatility surfaces. This presents a challenge, or …, frowns and W-shapes. Furthermore, we demonstrate the model's calibration to the observed volatility surface leading up to the … volatility interpolation. Finally, we discuss how the jump probabilities are becoming increasingly observable via alternative …
Persistent link: https://www.econbiz.de/10012909785