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Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market
Chang, Ting-Huan - In: Applied Financial Economics 21 (2011) 14, pp. 1049-1057
behaviours using adjusted moneyness when initial moneyness has been influenced by the time-to-maturity effect during the contract … period. The statistics for the stationary time series of adjusted moneyness reveal that both call and put option investors …
Persistent link: https://www.econbiz.de/10009278677
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Determinants of Implied Volatility Function on the Nifty Index Options Market: Evidence from India
Sehgal, Sanjay; Vijayakumar, N. - In: Asian Academy of Management Journal of Accounting and … 4 (2008) 1, pp. 45-69
implied volatility and moneyness referred to as volatility smile and (2) the potential determinants of the smile asymmetry. We … measures of moneyness, thus confirming the consistency of our findings. Our evidence on smile asymmetry is in contrast with …
Persistent link: https://www.econbiz.de/10010850723
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Pricing of put warrants and competition among issuers
Guo, Wen-chung; Chen, Ying-huei - In: Economics Bulletin 34 (2014) 4, pp. 2315-2323
Issuers may compete with each other by issuing similar warrants with the same underlying stocks, causing a supply-side effect on warrant markets. The study provides a theory and supported evidence that put warrants on individual stocks are issued by third party banks in Taiwan and that they...
Persistent link: https://www.econbiz.de/10011039079
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THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011 / CLASIFICACIÓN DE LAS SONRISAS DE VOLATILIDAD SEGÚN TRES PUNTOS DE...
García-Machado, Juan J.; Rybczynski, Jaroslaw - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
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/10011262769
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Information Content of Derivatives under Varying Market Conditions and Moneyness: The Case of S&P CNX Nifty Index Options
Pathak, Rajesh; Bhattacharjee, Kaushik; Nagi Reddy V. - In: Global Business Review 16 (2015) 2, pp. 281-302
, Downtrend, Recovery phases) and option’s moneyness which potentially can affect the venue preference of the trader and can … based on moneyness, that is, the at-the-money and out-of-the-money options. However, we find a change in magnitude and …
Persistent link: https://www.econbiz.de/10011265801
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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
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/10011984997
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EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS
Vasile, Emilia; Armeanu, Dan - In: Journal for Economic Forecasting 6 (2009) 1, pp. 48-62
. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term … provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. …
Persistent link: https://www.econbiz.de/10005052118
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Test of Log-Normal Process with Importance Sampling for Options Pricing
Yon, Semih; Bozdag, Cafer Erhan - International Institute of Social and Economic Sciences - 2014
indicate that the risk neutral density should be substituted in the range of moneyness. …
Persistent link: https://www.econbiz.de/10011210372
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Evidence on exercise pricing in CEO option grants in two countries
Canil, Jean M.; Rosser, Bruce A. - In: Annals of finance 11 (2015) 3/4, pp. 383-410
Persistent link: https://www.econbiz.de/10011459086
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Put-call parity in Indian stock markets post turmoil settlement
Gupta, Pankaj Kumar - In: Trends economics and management 12 (2018) 32, pp. 49-61
the National Stock Exchange of India (NSE) on various parameters including Moneyness, arbitrage differential, and time to …
Persistent link: https://www.econbiz.de/10012022238