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Hedging Market Risk and Volatility : Evidence from Indian Options Market

Thomas, Sony - 2015

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2) Strategies with limited losses and limited...

Persistent link: https://www.econbiz.de/10013025217

Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures : some new empirical results

Nonejad, Nima - In: Energy economics 104 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10013364254

Extreme risk transmission channels between the stock index futures and spot markets : evidence from China

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413574

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Lévy jump risk : evidence from options and returns

Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10010375952

Implied volatility and the risk-return relation : a note

Kanas, Angelos - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 159-164

Persistent link: https://www.econbiz.de/10010356000

Option pricing under time-varying risk-aversion with applications to risk forecasting

Kiesel, Rüdiger; Rahe, Florentin - In: Journal of banking & finance 76 (2017), pp. 120-138

Persistent link: https://www.econbiz.de/10011814247

Tail risk and the return-volatility relation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29

Persistent link: https://www.econbiz.de/10011983542

Asymmetric Volatility Risk : Evidence from Option Markets

Jackwerth, Jens Carsten - 2018

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

Persistent link: https://www.econbiz.de/10012938323

Options & price uncertainty

Chichilnisky, Graciela; Dutta, Jayasri; Heal, Geoffrey - 1991

Persistent link: https://www.econbiz.de/10000826369