Zobrazeno 1 - 10
of 55
pro vyhledávání: '"Silvia Muzzioli"'
Publikováno v:
Quantitative Finance and Economics, Vol 1, Iss 4, Pp 454-473 (2017)
Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative retu
Externí odkaz:
https://doaj.org/article/8d68b833961f492b8574b3962242a220
Autor:
Elyas Elyasiani, Silvia Muzzioli
Publikováno v:
Applied Economics. 54:2596-2609
The aims of the current article are threefold. First, to investigate the power of deterministic option-implied trees, constructed either by forward or by backward induction, in pricing European opt...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a05d97a657f143b82968faab93e6565c
https://doi.org/10.1080/00036846.2021.1998330
https://doi.org/10.1080/00036846.2021.1998330
Publikováno v:
Applied Economics. 52:6057-6074
The aims of this study are twofold. First, to determine the sign and magnitude of the skewness risk premium (SRP) in the Italian index option market using two procedures: (i) skewness swap contract...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8367cab06b7f9ddb90a5fbccb50ef118
https://doi.org/10.1080/00036846.2020.1783430
https://doi.org/10.1080/00036846.2020.1783430
Publikováno v:
Fuzzy Optimization and Decision Making. 19:211-238
The aim of this paper is to investigate the potential of fuzzy regression methods for computing more reliable estimates of higher-order moments of the risk-neutral distribution. We improve upon the formula of Bakshi et al. (RFS 16(1):101–143, 2003)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6b5480fa53396eecc2f9b31475db88b1
https://doi.org/10.1007/s10700-020-09316-x
https://doi.org/10.1007/s10700-020-09316-x
The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February 2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce, for the first time, a...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e61b9360c1a4e9a42140583620083e41
https://hdl.handle.net/11380/1240639
https://hdl.handle.net/11380/1240639
We prove the existence and uniqueness of the fundamental solution for Kolmogorov operators associated to some stochastic processes, that arise in the Black & Scholes setting for the pricing problem relevant to path dependent options. We improve previ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f56690f66f7064d358a494cc37caf64
http://hdl.handle.net/11588/853627
http://hdl.handle.net/11588/853627
Autor:
Giovanni Campisi, Silvia Muzzioli
The volatility index of the Chicago Board Options Exchange (VIX) was the first to be established, and it has given rise to international imitations worldwide as it is considered to be a barometer of investor fear. Starting from this volatility index,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9316b8f7ce4cd3d9581b5bfbb8a60b7
https://hdl.handle.net/11380/1235830
https://hdl.handle.net/11380/1235830