Option Implied Term Structures
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Language: en
Pages: 61
Pages: 61
Type: BOOK - Published: 2014 - Publisher:
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation
Language: en
Pages: 102
Pages: 102
Type: BOOK - Published: 2013-09-11 - Publisher: Routledge
This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book hav
Language: en
Pages: 14
Pages: 14
Type: BOOK - Published: 2017 - Publisher:
This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modeling of the asset's volatility, from which the
Language: en
Pages: 54
Pages: 54
Type: BOOK - Published: 2015 - Publisher:
This paper examines the option pricing implications of short-run and long-run volatility factors, which are assumed to be driven by short-run and long-run news
Language: en
Pages:
Pages:
Type: BOOK - Published: 2014 - Publisher:
Entwicklung einer Prozedur zur modellbasierten Interpolation von variance surfaces zur Reduktion von numerischen Approximationsfehlern. Weiterhin Untersuchung d