A New Approach to Build a Successful Straddle Strategy: The Analytical Option Navigator
RisksThe study described in this paper develops a new technique which permits the execution of an open straddle strategy based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the volatility of an
Orkhan Rustamov +3 more
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Iran's Exchange Market in Five Episodes: Bayesian Estimation of Systematic Risk with MCMC Method [PDF]
Mathematics and Modeling in FinanceThis paper estimates systematic risk in Iran’s foreign exchange market using a stochastic volatility model, analyzing five distinct episodes shaped by varying economic and political conditions. By tracing the evolution of volatility dynamics across these
Amir Mohsen Moradi +2 more
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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 +2 more
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Back to normal? A study of the behaviour of volatility in the Indian stock market
IIMB Management Review, 2019 We study the behaviour of volatility of the Indian stock market and the impact of the global financial crisis of 2008 on the stock market using data on daily returns of the Nifty index. We make our point by proposing a new statistic called the Vol Ratio,
Lakshmi Viswanathan, S. Maheswaran
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Does Real Exchange Rate Volatility Affect Sectoral Trade Flows? [PDF]
, 2008 This paper investigates empirically the effect of real exchange rate volatility on sectoral bilateral trade flows between the US and her top thirteen trading countries. Our investigation also considers those effects on trade flows which may arise through
Caglayan, M., Di, J.
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Is Stock Price Volatility A Risk? : An Evaluation Review [PDF]
International Journal of Management, Accounting and Economics, 2019 Price volatility presents the investor possibilities and opportunities to buy securities at cheap prices and then sell it when they are overpriced, resulting in a profit at the end of the day.
Rabia Qammar, Rana Zain-Ul-Abidin
doaj
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices. [PDF]
Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of
Aboura, Sofiane, Wagner, Niklas
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Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index
, 2007 The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks
Andersen +31 more
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THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS [PDF]
Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied
Manfredo, Mark R., Sanders, Dwight R.
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Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
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