Results 41 to 50 of about 117,062 (250)
Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Journal of Agricultural and Resource Economics, 2011 This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets.
Lee Brittain +2 more
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Mathematics, 2023 This paper studies the predictability of implied volatility indices of stocks using financial reports tone disagreement from U.S. firms. For this purpose, we build a novel measure of tone disagreement based on financial report tone synchronization of U.S.
Nicolas S. Magner +3 more
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The Impact of Determinants on the Volatility of Banking Sector Stock Returns in Europe
Problemy Zarządzania, 2019 The aim of the paper is to examine the impact of macroeconomic determinants on the volatility of banking sector stock returns in Europe. The research was conducted for 182 banks in 26 European countries in which banks are listed in the stock market.
Katarzyna Niewińska
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Energies, 2020 This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads).
Bartosz Łamasz, Natalia Iwaszczuk
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The implicit models of the option valuation
Management Letters/Cuadernos de Gestión, 2004 Of the alternative approaches to the Black-Scholes options valuation model, the implied models have had the largest development in last years. In this approach there are different alternatives: implied trees, deterministic volatility function models and ...
GERARDO ARREGUI AYASTUY
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Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2007 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
openaire +2 more sources
The predictive power of dollar-real call optionsimplied volatility
Economia Aplicada, 2002 Previous empirical researches pointed out the relation between stress events in financial markets and implied volatility in option prices, indicating that large movements in asset prices would be preceded by significant increases in implied volatility ...
Daniel Augusto Motta
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US Implied Volatility as A predictor of International Returns
Quantitative Finance and Economics, 2017 This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i) investors may find that foreign equityreturns adjusting to US implied volatility may not provide true ...
Mehmet F. Dicle
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Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
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The Reactive Volatility Model [PDF]
, 2013 We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane +3 more
core +1 more source