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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
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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
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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
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …
Persistent link: https://www.econbiz.de/10011577049
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Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options
İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742
) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …
Persistent link: https://www.econbiz.de/10013334825
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Information Content of Option Implied Eigenportfolios and Their Variance Risk Premium Sensitivities in G10 Currencies
Heinonen, Jari-Pekka - 2018
This paper reveals a novel way of constructing the option implied RX and HML_FX risk factors by utilizing the full cross-section of the 45 G10 cross-rate options. The option implied carry factors, IEP^{2,ZC}, are highly profitable strategies that surprisingly earn both positive carry and...
Persistent link: https://www.econbiz.de/10012913288
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Predicting the equity market with option implied variables
Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017
We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....
Persistent link: https://www.econbiz.de/10011751188
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The contribution of transaction costs to expected stock returns : a novel measure
Hiraki, Kazuhiro; Skiadopoulos, George - 2023
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014231634
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Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S&P 500 Options
Neumann, Michael - 2012
implications for the dynamics of implied volatility surfaces …
Persistent link: https://www.econbiz.de/10013109407
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Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S&P 500 Options
Neumann, Michael - 2012
implications for the dynamics of implied volatility surfaces …
Persistent link: https://www.econbiz.de/10013115379