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1Academic Journal
المؤلفون: GERARDO ARREGUI AYASTUY
المصدر: Management Letters/Cuadernos de Gestión, Vol 4, Iss 2, Pp 77-93 (2004)
مصطلحات موضوعية: Options valuation, Implied trees, Deterministic volatility function, Implied volatility function, Commerce, HF1-6182
وصف الملف: electronic resource
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2Academic Journal
المؤلفون: Arregui Ayastuy, Gerardo
مصطلحات موضوعية: valoración de opciones, árboles implícitos, función de volatilidad determinista, función de volatilidad, options valuation, implied trees, deterministic volatility function, implied volatility function, G13, FINANCIAL ECONOMICS, INDUSTRIAL RELATIONS AND LABOR, ECONOMICS, STRATEGY AND MANAGEMENT, ORGANIZATIONAL BEHAVIOR AND HUMAN RESOURCE MANAGEMENT, BUSINESS AND INTERNATIONAL MANAGEMENT
وصف الملف: application/pdf
Relation: http://www.ehu.es/cuadernosdegestion/revista/index.php/numeros?a=da&y=2004&v=4&n=2&o=5; Cuadernos de Gestión 4(2) : 77-93 (2004); 1131-6837 (Print); 1988-2157 (Online); http://hdl.handle.net/10810/7137; RePEc:ehu:cuader:7137
الاتاحة: http://hdl.handle.net/10810/7137
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3Academic Journal
المؤلفون: Peña, Juan Ignacio, Rubio, Gonzalo, Serna, Gregorio
مصطلحات موضوعية: smiles, bid-ask spread, implied volatility function, option pricing, Empresa
وصف الملف: application/pdf
Relation: European Financial Management, 2001, vol. 7, nº 3, p.351-374.; 1354-7798 (print); 1468-036X (online); http://hdl.handle.net/10016/7112; 351; European Financial Management
الاتاحة: http://hdl.handle.net/10016/7112
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4Academic Journal
المؤلفون: Söderman, Ronnie
المساهمون: Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance, Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, Finansiell ekonomi
مصطلحات موضوعية: implied volatility, volatility smiles and surfaces, implied volatility function models, term-structure of implied volatility, Finance
وصف الملف: application/pdf; text/plain
Relation: Working Papers; 443; 951-555-669-4; http://hdl.handle.net/10227/145; URN:ISBN:951-555-669-4
الاتاحة: http://hdl.handle.net/10227/145
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5Dissertation/ Thesis
المؤلفون: 강선영
المساهمون: 오형식, 산업공학과
مصطلحات موضوعية: 위험중립확률밀도함수, risk-neutral probability density function, 위험중립확률분포, risk-neutral probability distribution, 델타헤지, delta hedging, 동적헤지, implied volatility function, 변동성 함수, volatility smile approach, 변동성 미소현상, 변동성 미소 방법
وصف الملف: iv, 40장
Relation: http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000036815; http://hdl.handle.net/10371/11910
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6Dissertation/ Thesis
المؤلفون: 최민규
المساهمون: 오형식, 산업공학과
مصطلحات موضوعية: 위험중립확률분포, Risk Neutral Density, 내재확률분포, Implied Probability Distribution, 내재변동성함수, Implied volatility function, 모멘트관계, Moment relationship, Peso Problem, 만기익일옵션평가, Option pricing after expiration date
وصف الملف: v, 43 장
Relation: http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000042140; http://hdl.handle.net/10371/11703
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7
المؤلفون: Hausmann, Wilfried
مصطلحات موضوعية: Optionspreismodell, Stochastische Volatilität, Implizite Volatilität, Markowsches Baummodell, Volatiliätsrisiko, Option Pricing Model, Stochastic Volatility, Implied Volatility Function, Markovian Tree Model, Volatility Risk
وصف الملف: 25 S.; application/pdf
Relation: Friedberger Hochschulschriften;28; https://publikationsserver.thm.de/xmlui/handle/123456789/107; http://dx.doi.org/10.25716/thm-57
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8
المؤلفون: Söderman, Ronnie
المساهمون: Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi, Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance
مصطلحات موضوعية: volatility smiles and surfaces, term-structure of implied volatility, implied volatility function models, implied volatility, Finance
وصف الملف: 1837 bytes; 191572 bytes; application/pdf; text/plain
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9
المؤلفون: 黃泰霖, Huang, Tie-lin
المساهمون: 淡江大學財務金融學系碩士班, 謝文良, Hsieh, Wen-liang
مصطلحات موضوعية: 隱含波動率, 隱含波動率曲面, 向量自我迴歸模型, 隱含波動微笑, implied volatility surface, implied volatility function, implied volatileity smile, option pricing
وصف الملف: 143 bytes; application/octet-stream
Relation: 杜化宇 (Anthony H. Tu) 任紀為 (Chi-Wei Jen)，外匯選擇權的定價與馬可夫鏈蒙地卡羅法的應用，風險管理學報 第七卷 第三期 2005年 11月 林莞菁、林丙輝(2003)， 隱含波動率曲面變動因子-以台灣指數選擇權為例 ，台灣科技大學 : 財務金融研究所碩士論文 Bakshi G., C., Cao and Z., Chen, (1997), .“Empirical Performance of Alternative Option Pricing Models.”, Journal of Finance, 52, 2003-2049. Bates, D. S. (1996). “Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options.” Review of Financial Studies, Vol. 9, pp.69-108. Black, F., and M., Scholes, (1973), .“The Pricing of Options and Corporate Liabilities., Journal of Political Economy”, 81, 637-654. Bollen, N.P., and R. E. Whaley (2004) , “Does net buying pressure affect the shape of implied volatility function?,” Journal of Finance, 59, pp.711-753. Bollen, N.P.B., S. F. Gray, and R.E. Whaley, (2000) “Regime-Switching in Foreign Exchange Rates: Evidence from Currency Option Prices.” ,Journal of Econometrics, Vol.94, 239-276. Bollerslev,T.,(1986) “Generalized Autoregressive Conditional Heteroscedasticity, ” Journal of Econometrics, Vol.31, 307-327. Brandt, Michael W., and Tao Wu,(2002),“ Cross-Sectional Tests of Deterministic Volatility Functions”, Journal of. Empirical Finance 9, 525-550. 18 Campa, J., and K., Chang, (1995), “Testing the Expectations Hypothesis on the Term Structure of Volatilities.”, Journal of Finance, 50, 529-547. Canina, L., and S., Figlewski, (1993), “The Informational Content of Implied Volatility.” Review of Financial Studies, 6, 659-681. Christensen, B., and N., Prabhala, (1998), .“The Relation between Implied and Realized Volatility.”, Journal of Financial Economics, 50, 125-150. Christoffersen, P., and C., Jacobs, (2004), .“The Importance of the Loss Function in Option Valua-tion.”, Journal of Financial Economics, 72, 291-318. Cox, J. C. and Ross, S.A. (1976) “The Valuation of Options for Alternative Stochastic Processes”, Journal of Financial Economics, Vol.3, 145-166. Cox,J.C.,S.A.Ross and M.Rubinstein,(1985),“Option Pricing：A Simplified of Interest Rates.”. Econometrica,Vol.53,No.2,March,385-407. Das, S., Sundaram, R.,(1999) .“Of Smiles and Smirks：A Term Structure Prespective.” Journal of Financial and Quantitative Analysis 34, 211–239. David, A., and P., Veronesi, (2002), .“Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities.”, mimeo, University of Chicago. Day, T., and C., Lewis, (1988), .“The Behavior of the Volatility Implicit in the Prices of Stock Index Options.,” Journal of Financial Economics, 22, 103-122. Day, T., and C., Lewis, (1992), .“Stock Market Volatility and the Information Content of Stock Index Options.”, Journal of Econometrics, 52, 267-287. Derman, E. and Kani, I. (1994) , “ The Volatility Smile and Its Implied Tree. ”, RISK, 7,139-145, 32-39. Diebold, F., and C. Li,( 2003), .“Forecasting the Term Structure of Government Bond Yields.”, mimeo, University of Pennsylvania. Diebold, F. and R., Mariano, (1995), .“Comparing Predictive Accuracy.”, Journal of Business and Economic Statistics, 13, 253-263. Dumas, B., J. Fleming and R., Whaley, (1998), .“Implied Volatility Functions: Empirical Tests”. ,Journal of Finance, 53, 2059-2106. Dupire, B. (1994). “Pricing with a smile, ” Risk 7: 18-20 Duque, J., and P. (1999), Teixeira Lopes, “Maturity and Volatility Effects on Smiles. Or Dying Smiling ? ”, Paper presented at EFA. Engle, R., and V., Ng, (1993), .“Measuring and Testing the Impact of News on Volatility.”, Journal of Finance, 48, 1749-1778. Fleming, J., (1998), “The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices.”, Journal of Empirical Finance, 5, 317-345. Garcia, R., R., Luger, and E., Renault, (2003), .“Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables,”. Journal of Econometrics, 116, 49-83. Garcia, R., E., Ghysels and E., Renault, (2003), .“The Econometrics of Option Pricing., forthcoming in Handbook of Financial Econometrics”, Y., A¨õt-Sahalia and L., P., Hansen (eds.), Elsevier-North Holland, Amsterdam. Goncalves, S., and M., Guidolin (2006),“Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.” Journal of Business,vol. 79,no. 3. Heston, Steven, and Saikat Nandi.( 2000),“ A closed-form GARCH option valuation model.” Review of Financial Studies 13:585-625. Hull, J., White, A.,(1987). “The pricing of options on assets with stochastic volatilities.” Journal of Finance,42, 281–300. Martens, M., Zein, J., (2004). “Predicting financial volatility: High-frequency time-series forecasts vis-a`-vis implied volatility. ”Journal of Futures Markets, forthcoming. Ncube,M.(1996),“Modeling implied volatility with OLS and panel data models.” Journal of Banking &Finance,20,71-84. Nelson, C. R., Siegel, A. F. (1987), “Parsimonious Modeling of Yield Curves”, Journal of Business, Vol. 60, pp. 473-489. Pena, Ignacio, Gonzalo Rubio, and Gregorio Serna. (1999). “Why do we smile? On the determinants of the implied volatility function.” Journal of Banking and Finance 23:1151-79. Rosenberg, Joshua, and Robert Engle.,(2002).“ Empirical pricing kernels”. Journal of Financial Economics 64:341-72. Rubinstein, M.(1976).“ The valuation of uncertain income streams and the pricing of options.” Bell Journal of Economics 7:407-25. Rubinstein, M. (1985). “Nonparametric tests of alternative option pricing models using all reported traders and quotes on the 30 most active CBOE options classes from August 23, 1976 through August 31, 1978.” Journal of Finance, Vol. 40, pp.455-480. Rubinstein, M. (1994) "Implied binomial trees," Journal of Finance, 49, pp.771-818. Sheikh and Aamir M., (1991), “Transaction Data Tests of S&P 100 Call Option Pricing”, Journal of Financial and Quantitative Analysis 26, No. 4, pp.459-475. Xu, X. and S. J. Taylor,. (1994) ,“The Term Structure of Volatility Implied by Foreign Exchange Options.”, Journal of Financial and Quantitative Analysis, Vol. 29, 57-74.; U0002-1406200714484100; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31502; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/31502/1/
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10
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11Dissertation/ Thesis
المؤلفون: 潘文良
المساهمون: 李存修, 臺灣大學：財務金融學研究所
مصطلحات موضوعية: 隱含機率分配, 隱含波動度, 雙對數常態分配, implied volatility function, implied volatility, mixture-lognormal, implied distribution, stat, eco
Relation: http://ntur.lib.ntu.edu.tw/bitstream/246246/60861/1/ntu-93-R91723067-1.pdf; http://ntur.lib.ntu.edu.tw/handle/246246/60861
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12Dissertation/ Thesis
المؤلفون: 沈昱昌
المساهمون: 陳威光 江彌修
مصطلحات موضوعية: 基因演算法, 隱含波動度, Genetic Algorithm, Implied Volatility Function
Relation: 1. Ait-Sahalia Y., Wang Y., Yared F. (1998). “Do Option Markets Correctly Asses the Probabilities of Movements of the Underlying Asset?” Forthcoming, Journal of Econometrics.; 2. Andersen L., Brotherton-Ratcliffe R. (1998). “The Equity OptionVolatility Smile: AFinite Difference Approach,” Journal of Computational Finance 1, 2, 5–38.; 3. Andersen T., Benzoni L., Lund J. (1999). “Estimating Jump-Diffusions for Equity Returns,” Working Paper, Northwestern University and Aarhus School of Business.; 4. Bakshi G., Cao C., Chen Z. (1997). “Empirical Performance of Alternative Option Pricing Models,” Journal of Finance 52, 2003–2049.; 5. Bates D. (1996). “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options,” Review of Financial Studies 9, 1, 69–107.; 6. Black F., Scholes M. (1973). “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, 637–654; 7. Das S., Foresi S. (1996). “Exact Solutions for Bond and Option Prices with Systematic Jump Risk,” Review of Derivatives Research 1, 7–24.; 8. Dumas B., Fleming J., Whaley R.E. (1996). Implied Volatility Functions: Empirical Test, Working paper, National Bureau of Economic Research, Cambridge.; 9. Dupire B. (1994). “Pricing with a Smile,” RISK Magazine January, 18–20.; 11. Goldberg D., Korb B., Deb K. (1989). “Messy genetic algorithms: Motivation, analysis, and first results,” Complex Systems 3, 5.; 12. Heston S. (1993). “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,” Review of Financial Studies 6, 2, 327–343.; 13. Holland J. H. (1975). “Adaption in Natural and Artificial Systems,” The University of Michigan Press.; 14. Hull J, White A. (1987). “The Pricing of Options with Stochastic Volatilities,” Journal of Finance 42, 281–300.; 15. Koza, J.R. (1992). “Genetic Programming: On the Programming of Computers by Means of Natural Selection,” MIT Press, Cambridge MA.; 16. Lagnado R., Osher S. (1997). “Reconciling Differences,” RISK Magazine April, 79–83.; 17. Merton R. (1976). “Option Pricing when Underlying Stock Returns are Discontinuous,” Journal of Financial Economics May, 125–144.; 18. Rubinstein M. (1994). “Implied Binomial Trees,” Journal of Finance 49, 771–818.; 19. Smith S. (1980). “A Learning System Based on Genetic Adaptive Algorithms,” Ph.D. dissertation. University of Pittsburgh.; 20. Stein E, Stein J. (1991). “Stock Price Distributions with Stochastic Volatility: An Analytic Approach,” Review of Financial Studies 4, 4, 727–752.; 21. Webster’s II. (1994). New Riverside University Dictionary, Houghton Mifflin Company.; G0913520312; https://nccur.lib.nccu.edu.tw//handle/140.119/31218; https://nccur.lib.nccu.edu.tw/bitstream/140.119/31218/1/index.html
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13Dissertation/ Thesis
المؤلفون: 沈昱昌
مصطلحات موضوعية: 基因演算法, 隱含波動度, Genetic Algorithm, Implied Volatility Function
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14Electronic Resource
المؤلفون: Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi, Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance, Söderman, Ronnie
مصطلحات الفهرس: implied volatility, volatility smiles and surfaces, implied volatility function models, term-structure of implied volatility, Finance, Text
URL:
http://hdl.handle.net/10227/145
Working Papers
443