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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

Persistent link: https://www.econbiz.de/10011958447

Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

Persistent link: https://www.econbiz.de/10011577049

Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

Persistent link: https://www.econbiz.de/10011592500

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

Persistent link: https://www.econbiz.de/10010290353

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10010290416

Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …

Persistent link: https://www.econbiz.de/10010322178