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Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

Information content and market liquidity in the fixed income market : evidence from the swaption market

Hattori, Takahiro - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014574914

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - 2023

Persistent link: https://www.econbiz.de/10013502696

Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161

Persistent link: https://www.econbiz.de/10010190161

Volatility risk premium decomposition of LIFFE equity options

Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326

Persistent link: https://www.econbiz.de/10009690153

Skewness versus Kurtosis : implications for pricing and hedging options

Kim, Sol; Lee, Geul; Park, Yuen Jung - In: Asia-Pacific journal of financial studies 46 (2017) 6, pp. 903-933

Persistent link: https://www.econbiz.de/10011865909

Quantification of feedback effects in FX options markets

Anderegg, Benjamin; Sornette, Didier; Ulmann, Florian - 2019

Persistent link: https://www.econbiz.de/10012026522

Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China

Yu, Xiao-Jian; Wang, Zi-Ling; Xiao, Wei-Lin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012665985

Delta Hedging Bitcoin Options with a Smile

Alexander, Carol; Imeraj, Arben - 2022

significantly out-perform the simple Black-Scholes delta hedge, especially when using the perpetual swap as hedging instrument …We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas … volatility model, or they are based on simple regime-dependent parameterisations of local volatility. These deltas are popular …

Persistent link: https://www.econbiz.de/10013288907

The impact of option hedging on the spot market volatility

Anderegg, Benjamin; Ulmann, Florian; Sornette, Didier - In: Journal of international money and finance 124 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013435214