|
|
|
|
|
Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marcelo Nóbrega da Costa,Joe Akira Yoshino
Pág. pp. 23 - 46
Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976) or Garman and Kohlhagen (1983). This widespread practice hides very important quantitative effects that could be bette...
ver más
|
|
|
|
|
|
|
|
|
|
|
Dean Fantazzini
In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the da...
ver más
|
|
|
|
|
|
|
|
|
|
|
Vina Nurlita,Prima Naomi
Pág. 29 - 38
This study has the purpose to examine the effect of political events on the volatility of stocks traded on the Indonesia Stock Exchange (IDX). Furthermore, this study also sees whether such political events also influence the shares that have direct link...
ver más
|
|
|
|
|
|
|
|
|
|
|
Conglin Chen, Joseph H. Podolsky, Nacu Hernandez, Austin Hohmann, ... Eric W. Cochran
Pág. 3592 - 3600
Historically, the use of ?green? materials around the world has been limited due to their higher production costs when compared to petrochemical derived materials. However, due to the recent volatility and increasing price of petroleum derivatives, there...
ver más
|
|
|
|
|
|
|
|
|
|
|
Charles Osondu Manasseh,Jonathan Emenike Ogbuabor,Obiorah K Obinna
Pág. 1599 - 1607
This study examines volatility and commodity price dynamics in Nigeria. This was estimated with the GARCH and Exponential Generalized Autoregressive Conditional Heteroschedasticity (EGARCH), while Granger Causality test was used to examine the causality ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Katia Rocha,Ajax Moreira
Pág. 421 - 448
The paper proposes a panel model to the determinants of capital flow volatility to a group of 18 emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses sever...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ronny Kim Woo,José Valentim Machado Vicente,Claudio Henrique Barbedo
Pág. p. 485 - 501
The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented,...
ver más
|
|
|
|
|
|
|
|
|
|
|
Kejing Zhao, Jinliang Zhang and Qing Liu
The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expect...
ver más
|
|
|
|
|
|
|
|
|
|
|
Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other?s subsequent volatilit...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jying-Nan Wang,Yuan-Teng Hsu,Hung-Chun Liu
Pág. 651 - 656
Given the rapid growth of financial markets over the past 20 years, along with the explosive development of financial derivatives, an ever-growing need for accurate and efficient volatility forecasting has emerged. Such forecasts have numerous financial ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yunkang Du and Zuoliang Xu
In this paper, we recover the European option volatility function σ(t)" role="presentation">??(??)s(t)
s
(
t
)
of the underlying asset and the fractional order α" role="presentation" style="position: relative;">??a
a
of the time fra...
ver más
|
|
|
|
|
|