Risk-neutral densities: A review
S Figlewski - Annual Review of Financial Economics, 2018 - annualreviews.org
Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
Implied volatility indices: A review and extension in the Turkish case
A Sensoy, J Omole - International Review of Financial Analysis, 2018 - Elsevier
We re-visit the model-free methodology of the new VIX, and review how its counterparts are
estimated empirically across the world. Then, we modify its parameter selection procedure …
estimated empirically across the world. Then, we modify its parameter selection procedure …
[BOOK][B] Pricing models of volatility products and exotic variance derivatives
YK Kwok, W Zheng - 2022 - taylorfrancis.com
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …
the recent research results in pricing models of derivatives on discrete realized variance and …
[PDF][PDF] Curve-fitting method for implied volatility
Curve-fitting methods construct a curve, or a surface, that has the best fit to a series of data
points and disregards unnecessary fluctuations empirically. There are three types of curve …
points and disregards unnecessary fluctuations empirically. There are three types of curve …
Three Essays on Derivatives Markets
OJ Omole - 2022 - search.proquest.com
This thesis comprises of three essays on derivatives markets. The first essay revisits the
model-free methodology of the implied volatility index (VIX) and its global counterparts as …
model-free methodology of the implied volatility index (VIX) and its global counterparts as …
A Novel Method for Arbitrage-Free Option Surface Construction
G Orosi - Annals of Financial Economics, 2019 - World Scientific
In this paper, we provide an alternative framework for constructing an arbitrage-free
European-style option surface. The main motivation for our work is that such a construction …
European-style option surface. The main motivation for our work is that such a construction …
[CITATION][C] Three essays on energy shift: From fossil fuels towards renewables
P Neudorfer - 2020 - espace.library.uq.edu.au
This thesis contributes to the literature on assets that will be probably stranded due to
energy transition. We concentrate on investors' beliefs about the value of the fossil fuel …
energy transition. We concentrate on investors' beliefs about the value of the fossil fuel …