Results 21 to 30 of about 19,599 (310)
The Relevance of Cboe Volatility Index to Stock Markets in Emerging Economies
Organizations and Markets in Emerging Economies, 2015 We examine the capability of CBOE S&P500 Volatility index (VIX) to determine returns of emerging stock market indices as compared to local stock markets volatility indicators.
Tamara Mariničevaitė +1 more
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, 2006 We propose two main applications of Gy ngy (1986)'s construction of inhomogeneous Markovian stochastic differential equations that mimick the one-dimensional marginals of continuous It processes. Firstly, we prove Dupire (1994) and Derman and Kani (1994)'s result.
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Humanities & Social Sciences Communications, 2020 Research on international food prices or volatility transmission have concentrated on importing countries and have largely underestimated the importance of food insecurity or food poverty issues in food-exporting countries.
Tetsuji Tanaka, Jin Guo
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EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS [PDF]
Mathematical Finance, 2015 We consider an asset whose risk‐neutral dynamics are described by a general class of local‐stochastic volatility models and derive a family of asymptotic expansions for European‐style option prices and implied volatilities. We also establish rigorous error estimates for these quantities.
Lorig, Matthew +2 more
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Romanian Equity Investments and Currency Risk: A Euro-Based Perspective
Studies in Business and Economics, 2021 This paper assesses the benefits and risks of international investments made on the Romanian stock market, from the perspective of euro-based investors.
Radu loana +2 more
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Pricing of foreign currency options in the Serbian market [PDF]
Ekonomski Anali, 2009 The main idea of this paper is to find the most suitable approach to the valuation of foreign currency options in the Serbian financial market. Volatility analysis included the application of the GARCH model which resulted in the marginal volatility ...
Janković Irena
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Linking Futures and Options Pricing in the Natural Gas Market
RisksA 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
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Humanities & Social Sciences Communications, 2020 Despite the abundance of literature on agricultural price transmissions and unexpectedly disrupted value chains from infectious disease outbreaks such as bovine spongiform encephalopathy and COVID-19, the importance of research on price connectivity in ...
Tetsuji Tanaka, Jin Guo
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A note on contracts on quadratic variation. [PDF]
PLoS ONE, 2017 Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap.
Carl Lindberg
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Turbo Warrants under Hybrid Stochastic and Local Volatility
Abstract and Applied Analysis, 2014 This paper considers the pricing of turbo warrants under a hybrid stochastic and local volatility model. The model consists of the constant elasticity of variance model incorporated by a fast fluctuating Ornstein-Uhlenbeck process for stochastic ...
Min-Ku Lee +3 more
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