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Learning and index option returns
(Amer Statistical Assoc, 2020)
Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium ...
Learning and forecasts about option returns through the volatility risk premium
(Elsevier, 2017)
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium ( V RP) for option returns. In the model, a representative agent fol- lows a rational Bayesian learning process ...
Do interest rate options contain information about excess returns?
(Elsevier Science Sa, 2011-09-01)
There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...
Non-Gaussian Price Dynamics and Implications for Option Pricing
(2012)
It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...
Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
(2017-11-08)
We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains
exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning
behavior ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...