Results 71 to 80 of about 190,252 (236)

Forward Freight Agreements and Market Transparency in the Capesize Sector

Asian Journal of Shipping and Logistics, 2019
We investigate the connection between the trading of Forward Freight Agreements (FFAs) and its microstructure effects in the volatility of the spot freight market in the Capesize dry-bulk sector of oceangoing vessels.
Theodore Pelagidis, George Panagiotopoulos   +1 more
doaj   +1 more source

Linking Futures and Options Pricing in the Natural Gas Market

Risks
A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves ...
Francesco Rotondi
doaj   +1 more source

Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model

Journal of Mathematical Sciences and Modelling, 2018
We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility.
Rehez Ahlip, Laurence A. F. Park, Ante Prodan   +2 more
doaj   +1 more source

OIL VOLATILITY-OF-VOLATILITY AND TAIL RISK OF COMMODITIES

Applied Finance Letters
We examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities.
Yahua Xu, Alireza Tourani-Rad, Tai-Yong Roh   +2 more
doaj   +1 more source

Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model

Discrete Dynamics in Nature and Society, 2016
Market crashes often appear in daily trading activities and such instantaneous occurring events would affect the stock prices greatly. In an unstable market, the volatility of financial assets changes sharply, which leads to the fact that classical ...
Congyin Fan, Kaili Xiang, Peimin Chen
doaj   +1 more source

The Heston stochastic volatility model in Hilbert space

, 2017
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen, Simonsen, Iben Cathrine   +1 more
core   +1 more source

Does policy uncertainty affect equity, commodity, interest rates, and currency markets? Evidence from CBOE’s volatility index

Journal of Business Economics and Management, 2020
Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty ...
Imlak Shaikh
doaj   +1 more source

Forward looking information in S&P 500 options [PDF]

Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not ...
Adam E Clements, Ralf Becker, Scott I White   +2 more
core  

A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models [PDF]

Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not.
Carl Chiarella, Ram Bhar, Thuy Duong To
core  

Adjoint methods for computing sensitivities in local volatility surfaces [PDF]

, 2010
In this paper we present the adjoint method of computing sensitivities of option prices with respect to nodes in the local volatility surface. We first introduce the concept of algorithmic differentiation and how it relates to\ud path-wise sensitivity ...
Spilda, Juraj
core   +1 more source