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Asset price dynamics, volatility, and prediction

Taylor, Stephen; Taylor, Stephen - 2005

Persistent link: https://www.econbiz.de/10002746484

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10003919376

Investigating the information content of the model-free volatility expectation by Monte Carlo methods

Zhang, Yuanyuan; Taylor, Stephen; Wang, Lili - In: The journal of futures markets 33 (2013) 11, pp. 1071-1095

Persistent link: https://www.econbiz.de/10010255100

Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10003461175

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52

Persistent link: https://www.econbiz.de/10003862759

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

A novel reduction of the simple Asian option and lie-group invariant solutions

Taylor, Stephen; Glasgow, Scott - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1197-1212

Persistent link: https://www.econbiz.de/10003946588

Bankruptcy probabilities inferred from option prices

Taylor, Stephen; Tzeng, Chi-Feng; Widdicks, Martin - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 8-31

Persistent link: https://www.econbiz.de/10011311421

Bankruptcy Probabilities Inferred from Option Prices

Taylor, Stephen - 2019

Option prices contain forward looking information about stock price volatility and, potentially, the probability of bankruptcy. We develop a risk-neutral density (RND) model consisting of a mixture of two lognormal densities with a probability of bankruptcy. We calibrate this model to daily...

Persistent link: https://www.econbiz.de/10012905555