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Did Option Prices Predict the ERM Crises?
Mizrach, Bruce - 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/10010334336
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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
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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
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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
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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
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Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
Amilon, Henrik - 2001
strategies are also investigated, allowing for limited short selling and the inclusion of synthetic options in the security set. …
Persistent link: https://www.econbiz.de/10013208416
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Forecasting international index returns using option-implied variables
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018
Persistent link: https://www.econbiz.de/10011897857
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A quantitative mirror on the Euribor market using implied probability density functions
de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010
the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …
Persistent link: https://www.econbiz.de/10011605327
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …
Persistent link: https://www.econbiz.de/10011340958
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Capital structure and financial flexibility: Expectations of future shocks
Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014
equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …
Persistent link: https://www.econbiz.de/10011380992