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Author : 張凱君
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (9 download)
Download or read book Empirical Study on the Predictive Ability of Option-implied Volatility written by 張凱君 and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Chen
Publisher : Springer
ISBN 13 : 9811074283
Total Pages : 163 pages
Book Rating : 4.8/5 (11 download)
Download or read book General Equilibrium Option Pricing Method: Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author :
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (49 download)
Download or read book Le juste chastiment de Dieu, dans la mort d'un grenetier, pour avoir vendu les grains trop cher, & laisser moisir plusieurs pains written by and published by . This book was released on 1649 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yonatan Navon
Publisher :
ISBN 13 :
Total Pages : 382 pages
Book Rating : 4.:/5 (11 download)
Download or read book The Information Content of Options written by Yonatan Navon and published by . This book was released on 2014 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this thesis is to examine the information content of stock options in financial markets. A key question in financial economics is how information diffuses across markets and how quickly it is reflected in security prices. This thesis aims at exploring this question by investigating the informational role that options play in financial markets. This is achieved by exploring the joint cross section of option and bond prices, the informational role of options in seasoned equity offerings (SEOs), and the information content of options trading prior to announcements of changes to the S&P 500 Index.The thesis comprises three essays, each exploring the information content of equity options trading from a different angle. The first essay examines the joint cross section of option implied volatility and corporate bond returns. Theoretical and empirical work in finance suggests that stocks and bonds of the same issuing firm should share common risk factors. Therefore, new information about a firm should affect both its stock and bond prices. However, if one market offers trading incentives over other markets, informed traders and traders with better ability to process information may choose to trade in that market over the others. As a result, markets that provide advantages to informed traders will incorporate information prior to other markets. The empirical analysis in this chapter reveals that options trading is strongly predictive of corporate bond returns. A strategy of buying (selling) the portfolio with the lowest (highest) changes in option implied volatility yields an average monthly excess bond return of 1.03%. This strategy is statistically highly significant and economically very meaningful and indicates that information is incorporated into option prices prior to bond prices. In contrast, I find no evidence that bond prices incorporate information prior to option or stock prices. Since bond investors are generally sophisticated institutional investors who process information efficiently and the predictive ability of options is persistent, I conclude that informed trading rather than superior information processing abilities is responsible for the predictive ability of options.The second essay explores the information content of option implied volatility around the announcements and issue dates of SEOs. The literature on SEOs indicates that announcements and issue dates contain important information about firms and therefore provide profitable opportunities for traders with private information. While prior research has focused on the information content of short sales around SEOs, this study focuses on the information content of options which can act as an alternative for short selling. The empirical analysis provides evidence of informed trading in the options market around SEO announcements. Around SEO issue dates, I find that higher demand for put options is significantly related to larger issue discounts which is consistent with the manipulative trading hypothesis. The results in this study indicate that regulators should consider extending the short-sale restrictions of Rule 105 to restrict trading in related securities.Finally, the third essay investigates the information content of options prior to the S&P 500 Index inclusion and exclusion announcements. These announcements are unique events since they are not announced by the firm and, as stated by S&P, they should convey no new information. In addition, the large abnormal returns observed following these announcements make them distinctive ground for testing the informational role of options. Consistent with the notion that informed traders operate in the options market, the empirical results in this essay indicate that there is a significant relationship between options trading preceding index inclusion announcements and abnormal returns following these announcements. In contrast, I find no evidence for a relationship between options trading and abnormal returns following exclusion announcements.
Author : Fu, Xi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Option-Implied Volatility Measures and Stock Return Predictability written by Fu, Xi and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio level analysis implies significant non-zero risk-adjusted returns on arbitrage portfolios formed on the call-put implied volatility spread, implied volatility skew, and realized-implied volatility spread. Firm-level cross-sectional regressions show that, the implied volatility skew has the most significant predictive power over various investment horizons. The predictive power persists before and after the 2008 Global Financial Crisis.
Author : Eugenie M.J.H. Hol
Publisher : Springer Science & Business Media
ISBN 13 : 147575129X
Total Pages : 168 pages
Book Rating : 4.4/5 (757 download)
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Author : Qianqian Yang
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (225 download)
Download or read book An Empirical Study of Implied Volatility in Australian Index Option Markets written by Qianqian Yang and published by . This book was released on 2006 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernard Dumas
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (258 download)
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Author : Bo-Young Chang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (713 download)
Download or read book Three Essays on Option-implied Risk Measures and Equity Pricing written by Bo-Young Chang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yue Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (277 download)
Download or read book An Empirical Study on the Implied Volatility of FTSE 100 Index Options written by Yue Liu and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charalambos Vovos
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)
Download or read book The Information Content of Implied Volatility: an Empirical Study of the FTSE 100 Stock Index Options written by Charalambos Vovos and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven P. Feinstein
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (464 download)
Download or read book The Hull and White Implied Volatility written by Steven P. Feinstein and published by . This book was released on 1992 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yaw-Huei Wang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Impact of Jump Dynamics on the Predictive Power of Option-implied Densities written by Yaw-Huei Wang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines whether incorporating jumps with stochastic volatility can improve the predictive power of option-implied densities of the FTSE 100 index. A general double-jump model, as proposed by Duffie et al. (2000), is used to fit the market prices of options and to estimate 'risk-neutral' densities. 'Real-world' densities are then converted from their risk-neutral form by means of alternative statistical calibrations. Both the risk-neutral and real-world densities are evaluated, over five forecast horizons, using two different tests. Our empirical results indicate that adding jumps into the price and/or volatility processes not only substantially lowers the fitting errors of option prices, but also improves the predictive power of risk-neutral densities. Furthermore, satisfactory density prediction was consistently provided by the real-world densities, which were not dependent on the addition of jumps, the approach used to construct the densities, or the prediction horizon.
Author : Shengli Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Forecasting Implied Volatility Smile Surface Via Deep Learning and Attention Mechanism written by Shengli Chen and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is introduced into LSTM, and a volatility surface prediction method combining deep learning and attention mechanism is pioneeringly established. LSTM's forgetting gate makes it have strong generalization ability, and its feedback structure enables it to characterize the long memory of financial volatility. The application of attention mechanism in LSTM networks can significantly enhance the ability of LSTM networks to select input features. This paper considers the discrete points of the implied volatility smile surface as an overall prediction target, extracts the daily, weekly, and monthly option implied volatility as input features and establishes a set of LSTM-Attention deep learning systems. Using the dropout mechanism in training reduces the risk of over-fitting. For the prediction results, we use arbitrage-free smoothing to form the final implied volatility smile surface. This article uses the S&P 500 option market to conduct an empirical study. The research shows that the error curve of the LSTM-attention prediction system converges, and the prediction of the implied volatility surface is more accurate than other predicting system. According to the implied volatility surface of the 3-year rolling forecast, the BS formula is used to pricing the option contract, and then a time spread strategy and a butterfly spread strategy are constructed respectively. The experimental results show that the two strategies constructed using the predicted implied volatility surfaces have higher returns and sharp ratios than that the volatility surfaces are not predicted. This paper confirms that the use of AI to predict the implied volatility surface has theoretical and economic value. The research method provides a new reference for option pricing and strategy.
Author : William K. H. Fung
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (753 download)
Download or read book Empirical Analysis of Implied Volatility written by William K. H. Fung and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Louis H. Ederington
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility? written by Louis H. Ederington and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines (1) whether implied volatility is an unbiased informationally efficient predictor of actual future volatility and (2) its predictive power. If markets are efficient and the option pricing model is correct, then the implied volatility calculated from option prices should be an unbiased and informationally efficient estimator of future volatility, that is, it should correctly impound all available information including the asset's price history. However, numerous studies have found that implied volatility is not informationally efficient and that historical volatilities have incremental predictive power -- often out-predicting implied volatilities. For the Samp;P 500 options on futures we find the following. One, at least part of the apparent inefficiency of implied volatility from past studies stems from measurement error which biases estimates of the importance of implied volatility downward and of the importance of historical volatility upward. Once we correct for this error, there is no significant inefficiency. Two, implied volatility has strong predictive power -- considerably stronger than found by previous equity index studies. Three, stock market volatility prediction results are quite sensitive to (1) the forecasting horizon and (2) whether the data period covers the October 1987 stock market crash.
Author : Marko S. Maukonen
Publisher :
ISBN 13 : 9789515556394
Total Pages : 27 pages
Book Rating : 4.5/5 (563 download)
Download or read book On the Predictive Ability of Several Common Models of Volatility written by Marko S. Maukonen and published by . This book was released on 2000 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
