Popular guide to options pricing and position sizing for quant traders In this second edition
of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to …

Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models,
the purpose of this paper is to explore whether volatility arbitrage strategy can provide …

The introduction of unspanned sources of risk (and frictions) implies that option prices
include a risk premium. Prima facie evidence of the existence of risk premia in option prices …

We apply methods from Malliavin Calculus in the spirit of Fourny et al. in order to calculate
Taylor expansion of model prices with respect to perturbation parameters. The methods …

Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this
paper addresses the informational content of option-implied volatility, skewness, and …

Prices of foreign exchange options systematically diverge from those consistent with several
previous option pricing models. This paper examines whether alternative models better …

The topic of efficiency analysis of independent organisational units has long been a major
challenge for researchers and scientists around the world. In fact, in the current economic …

Este trabalho tem como objetivo testar se cone de volatilidade aplicado ao mercado de
opções brasileiro pode trazer informações adicionais à decisão de compra e venda de …

This paper examines the informational content and predictive power of implied volatility over
different forecasting horizons in a sample of European covered warrants traded in the Hong …

The basic assumption of the Black-Scholes option pricing is that volatility is constant over the
time to maturity of the option. We consider how the estimation of volatility is affected by the …