Results 21 to 30 of about 185,677 (330)
Stock Option Expense, Forward-Looking Information, and Implied Volatilities of Traded Options [PDF]
, 2004 Prior research generally finds that firms underreport option expense by managing assumptions underlying option valuation (e.g. they shorten the expected option lives), but it fails to document management of a key assumption, the one concerning expected ...
Eli Bartov +2 more
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The Effect of Electricity Forward Contracts Trading in the Energy Exchange on the Volatility of Spot Prices in Iran Electricity Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2015 Iran Energy Exchange started to work on 03/09/2013. Electricity trading is carried out within the framework of forward contracts in this exchange.
Mehran Kianvand, Asadollah Farzinvash
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Analysing Quantiles in Models of Forward Term Rates
Risks, 2023 The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments.
Thomas A. McWalter +2 more
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Jurnal Ilmiah Akuntansi dan Bisnis, 2020 This study aims to investigate the role of forward contract hedging in maintaining volatility cash flow and growth opportunity and its impact on investor reaction.
Hartono Hartono +2 more
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Electronic Research Archive, 2022 In this paper, we propose an adaptive neural network surrogate method to solve the implied volatility of American put options, respectively. For the forward problem, we give the linear complementarity problem of the American put option, which can be ...
Yiyuan Qian +3 more
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A Nonlinear Analysis of Forward Premium and Volatility [PDF]
Studies in Nonlinear Dynamics & Econometrics, 1997 In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility dependent risk premium.
Hsu, Chiente, Kugler, Peter
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Spot and forward volatility in foreign exchange [PDF]
Journal of Financial Economics, 2011 This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates.
Lucio Sarno +4 more
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Applied Mathematics in Science and Engineering, 2023 The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle ...
Qizhi He, Mati ur Rahman, Cuihua Xie
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Determinants of the Forward Premium in the Nord Pool Electricity Market
Energies, 2020 Nord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency.
Erik Haugom +2 more
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The Forward Smile in Local-Stochastic Volatility Models [PDF]
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
MAZZON, ANDREA, PASCUCCI, ANDREA
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