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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew

Siddiqi, Hammad - 2015

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

Persistent link: https://www.econbiz.de/10013033252

Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

volatility jump diffusion model …

Persistent link: https://www.econbiz.de/10013113731

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

Persistent link: https://www.econbiz.de/10014235957

Risk-adjusted option-implied moments

Brinkmann, Felix; Korn, Olaf - 2014

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

Persistent link: https://www.econbiz.de/10010399367

Informative Option Portfolios in Unscented Kalman Filter Design for Affine Jump Diffusion Models

Orłowski, Piotr - 2020

portfolios that aggregate option data, and track changes in risk-neutral volatility and skewness. These low-dimensional filters … volatility …

Persistent link: https://www.econbiz.de/10012842894

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027

Optimal option portfolio hedging strategy with non-Gaussian fluctuations

Hamdi, Haykel; Majdoub, Jihed - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 27-42

Persistent link: https://www.econbiz.de/10012176729

Variance trading and market price of variance risk

Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010379480

On the application of spectral filters in a Fourier option pricing technique

Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10011480718