Similar Search Results

The oil futures and options markets in 2020 : the "message from markets"

Ronn, Ehud I. - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150030-1-2150030-23

Persistent link: https://www.econbiz.de/10012805139

VIX implied volatility as a time-invariant, stationary assessor of market nervousness/uncertainty

Ronn, Ehud I. - In: Review of Pacific Basin financial markets and policies … 25 (2022) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10013370987

VIX implied volatility as a time-invariant, stationary assessor of market nervousness/uncertainty

Ronn, Ehud I. - 2024

Persistent link: https://www.econbiz.de/10015045557

The implied volatility of US interest rates : evidence from callable US treasuries

Bliss, Robert R.; Ronn, Ehud I. - 1995

Persistent link: https://www.econbiz.de/10000925735

To call or not to call? : Optimal call policies for callable US Treasury bonds

Bliss, Robert R. - In: Economic review 80 (1995) 6, pp. 1-14

Persistent link: https://www.econbiz.de/10001201634

Callable US treasury bonds : optimal calls, anomalies, and implied volatilities

Bliss, Robert R.; Ronn, Ehud I. - 1997

Persistent link: https://www.econbiz.de/10000975260

Option prices in the equity, index and commodity markets : the "message from markets"

Ronn, Ehud I. - In: Options - 45 years since the publication of the …, (pp. 433-449). 2023

Persistent link: https://www.econbiz.de/10014366690

Computing the market price of volatility risk in the energy commodity markets

Doran, James S.; Ronn, Ehud I. - In: Journal of banking & finance 32 (2008) 12, pp. 2541-2552

Persistent link: https://www.econbiz.de/10003795774

The valuation and information content of options on crude-oil futures contracts

Murphy, Finbarr; Ronn, Ehud I. - In: Review of derivatives research 18 (2015) 2, pp. 95-106

Persistent link: https://www.econbiz.de/10011477287

Hedging long-dated oil futures and options using short-dated securities : revisiting Metallgesellschaft

Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper identifies a model-free non-parametric approach to...

Persistent link: https://www.econbiz.de/10012626875