Volatility Derivatives
... While asset volatilities are an important input into portfolio theory, they are of even greater significance for derivatives pricing. It is common to hear of hedge funds engaged in volatility trading or to hear of strategists conceptualizing volatility as an asset class. The actual assets in this cl ...
... While asset volatilities are an important input into portfolio theory, they are of even greater significance for derivatives pricing. It is common to hear of hedge funds engaged in volatility trading or to hear of strategists conceptualizing volatility as an asset class. The actual assets in this cl ...
The information content of interest rate futures options
... PDF to be expressed in a parametric form. Thus, it is helpful to introduce the following notation: let θ denote the parametric vector for the risk-neutral PDF—of course the makeup of this vector will vary depending on the technique being used. Now, let C θ ( 0, X ) , and P θ ( 0, X ) be the theoret ...
... PDF to be expressed in a parametric form. Thus, it is helpful to introduce the following notation: let θ denote the parametric vector for the risk-neutral PDF—of course the makeup of this vector will vary depending on the technique being used. Now, let C θ ( 0, X ) , and P θ ( 0, X ) be the theoret ...
Option-Implied Volatility Measures and Stock
... minus-at” of calls, and “out-minus-at” of puts. 5 Results in their study show that differences between at-the-money call and put implied volatilities and those between out-of-the-money and at-the-money put implied volatilities both capture information about future equity returns. From these studies ...
... minus-at” of calls, and “out-minus-at” of puts. 5 Results in their study show that differences between at-the-money call and put implied volatilities and those between out-of-the-money and at-the-money put implied volatilities both capture information about future equity returns. From these studies ...
TOPIC 1: WHAT IS A SHARE
... Rights and obligations............................................................................................................. 8 Topic 3: Settlement and exercise ............................................................................................... 9 Settlement of option trades ....... ...
... Rights and obligations............................................................................................................. 8 Topic 3: Settlement and exercise ............................................................................................... 9 Settlement of option trades ....... ...
full text
... density with market observed spot prices. Strong and Xu (1999) repeat similar tests as in Longstaff (1995) but use the S&P 500 index options instead of the S&P 100 options. They claim that the martingale restriction cannot be rejected for the S&P 500 index calls and puts over the period from 1990 to ...
... density with market observed spot prices. Strong and Xu (1999) repeat similar tests as in Longstaff (1995) but use the S&P 500 index options instead of the S&P 100 options. They claim that the martingale restriction cannot be rejected for the S&P 500 index calls and puts over the period from 1990 to ...
