Results 61 to 70 of about 190,252 (236)

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 ...
Bartov, Eli, Mohanram, Partha S., Nissim, Doron   +2 more
core   +1 more source

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models

Risks, 2020
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann   +2 more
doaj   +1 more source

Spot price modeling and the valuation of electricity forward contracts : the role of demand and capacity. [PDF]

We propose a model where wholesale electricity prices are explained by two state variables: demand and capacity. We derive analytical expressions to price forward contracts and to calculate the forward premium.
Cartea, Álvaro, Villaplana, Pablo
core   +3 more sources

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

AIMS Mathematics
The CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
doaj   +1 more source

Interactions of Spot Foreign Exchange Markets among Taiwan, Hong Kong and Japan: Japanese Forward Premium/Discount as an Information Variable [PDF]

Management and Economics Review
This study takes the foreign exchange rates of Taiwan, Hong Kong and Japan as the research issue, and utilises the VEC GJR-Asymmetric GARCH model to analyse the interaction among spot exchange rates of these three countries.
Hsiang-Hsi LIU
doaj   +1 more source

Exchange Volatility and Forward Market Mechanism

Foreign Trade Review, 1986
Legacy description not ...
openaire   +2 more sources

Variance and Interest Rate Risk in Unit-Linked Insurance Policies

Risks, 2020
One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños, Marc Lagunas-Merino, Salvador Ortiz-Latorre   +2 more
doaj   +1 more source

Implied volatility estimation of bitcoin options and the stylized facts of option pricing

Financial Innovation, 2021
The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
doaj   +1 more source

Analogy making and the structure of implied volatility skew [PDF]

, 2014
An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-out implied volatility, then the implied volatility skew arises, which flattens as ...
A Furnham, A Melino, A Shleifer, B Dumas, B Dupire, B J Christensen, B Rockenbach, C Douglas, D Bates, D Bates, D Bates, D C Emanuel, D Hirshleifer, D Hofstadter, D Kahneman, D R Chambers, E M Stein, F Black, F Goltz, G M Constantinides, G M Constantinides, G M Constantinides, H E Leland, H M Soner, H Shefrin, H Siddiqi, H Siddiqi, H Siddiqi, Haim Levy, Hammad Siddiqi, Ioan Oancea, J C Hull, J C Jackwerth, J C Jackwerth, J D Coval, J Hull, J Johnson, J Lakonishok, J Pan, J Rosenberg, J Wiggins, J.-C Duan, Jin-Chuan Duan, K J Singleton, L Cen, M Baker, M Broadie, M H A Davis, M Rubinstein, Markku Kaustia, Mikhail Chernov, N Bollen, N Epley, O Bondarenko, Papanicolaou Fouque, Peter H Ritchken, Peter H Ritchken, R L Mcdonald, R Whaley, Robert J Shiller, S D Campbell, S D Hodges, S Heston, S Heston, Stylianos Perrakis, Stylianos Perrakis, Stylianos Perrakis, T F Rotheli, T G Andersen, W G Schwert, Y Miyahara   +70 more
core   +5 more sources

The effect of parallel OTC-DVP bond market introduction on yield curve volatility [PDF]

Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2006
The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment) fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates ...
Andraž Grum
doaj