Results 251 to 260 of about 326,044 (303)

TARGET VOLATILITY OPTION PRICING

International Journal of Theoretical and Applied Finance, 2012
In this paper we present two methods for the pricing of Target Volatility Options (TVOs), a recent market innovation in the field of volatility derivative. TVOs allow investors to take a joint view on the future price of a given underlying (e.g. stocks, commodities, etc) and its realized volatility.
Di Graziano G., Torricelli L.
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Option Pricing via Breakeven Volatility

Financial Analysts Journal, 2021
The fair value of an option is given by breakeven volatility, the value of implied volatility that sets the profit and loss of a delta-hedged option to zero. We calculate breakeven volatility for 400,000 options traded on the S&P 500 Index, and we build a predictive model for these volatility values.
Blair Hull, Anlong Li, Xiao Qiao
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Oil Price Volatility [PDF]

WTO Working Papers, 2010
In recent years, our understanding of the nature of energy price shocks and their effects on the economy has evolved dramatically. Only a few years ago, the prevailing view in the literature was that at least the major crude oil prices increases were exogenous with respect to the OECD economies and that these increases were caused by oil supply ...
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Measuring Oil Price Volatility

SSRN Electronic Journal, 2002
In this paper we try to measure oil price uncertainty. The measure of uncertainty is based on the conditional standard deviations which are derived from univariate (G)ARCH models. The measure of uncertainty we choose is the within-year high-low range of the conditional standard deviations.
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Fish Price Volatility

Marine Resource Economics, 2014
This article investigates the volatility of fish prices on a global scale using trade data. The trade data is organized along four dimensions: Geographical market (import), production technology, species, and product form. This allows us to address several interesting questions such as volatility of prices of aquaculture products relative to capture ...
Roy Endre Dahl, Atle Oglend
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Price and Volatility Co-Jumps

SSRN Electronic Journal, 2011
Abstract The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance ...
Bandi, F. M., Renò, Roberto
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Asset Pricing with Stochastic Volatility

Applied Mathematics & Optimization, 2001
Let a market consist of a stock \(S_t\) and a bond \(B_t\) governed by the equations \[ dS_t= a(t,S_t)S_tdt+ \sigma_tS_tdw_t \] and \[ dB_t=r_t B_tdt,\;B_0=1, \] where \(r_t\) is a bounded, nonnegative, progressively measurable interest rate process. The volatility \(\sigma_t\) is supposed to be random and satisfying on another stochastic differential ...
Kallianpur, G., Xiong, J.
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Cash Flow Volatility, Prices and Price Volatility: An Experimental Study

The Journal of Real Estate Finance and Economics, 2011
The value of an asset is equal to the present value of its expected future cash flows. It is affected by the magnitude, timing and riskiness, or volatility, of the cash flows. We hypothesize that if the expected values of two assets’ cash flows are equal, the value of the asset with more volatile cash flows will be lower.
Nuriddin Ikromov, Abdullah Yavas
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Price volatility and futures margins

Journal of Futures Markets, 1996
Futures exchanges raise margins in environments characterized by recent substantial increases in futures price volatility, and they raise margins in contracts that have recently shown the largest volatility increase. Volatility then tends to fall. This reduction is smaller - especially the troublesome jump component of volatility that is derived from a
Hardouvelis, Gikas A, Kim, Dongcheol
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