引入隔夜信息的期权定价模型研究
成思聪， 王天一 - 中国管理科学, 2024 - zgglkx.com
已有的实证研究表明, 隔夜信息在提高波动率预测准确性, 解释金融市场异象方面有重要的作用.
然而, 关于隔夜信息对期权市场影响的研究, 特别是对期权定价效果作用的研究仍数量有限 …
然而, 关于隔夜信息对期权市场影响的研究, 特别是对期权定价效果作用的研究仍数量有限 …
Pricing VIX options with realized volatility
We investigate the role of realized volatility in pricing VIX options by using the generalized
affine realized volatility (GARV) model, and the Realized generalized autoregressive …
affine realized volatility (GARV) model, and the Realized generalized autoregressive …
Forecasting Chinese stock market volatility with high-frequency intraday and current return information
X Wu, A Zhao, Y Wang, Y Han - Pacific-Basin Finance Journal, 2024 - Elsevier
In this paper, we propose the Real-Time Realized GARCH model incorporating the high-
frequency intraday information and current return information simultaneously to model and …
frequency intraday information and current return information simultaneously to model and …
[HTML][HTML] Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump
S Huang, X Guo - Chaos, Solitons & Fractals, 2022 - Elsevier
The pricing of European-style vulnerable option when the price process of the underlying
asset follows non-affine stochastic volatility and double exponential jump is investigated. An …
asset follows non-affine stochastic volatility and double exponential jump is investigated. An …
An empirical study on the characterization of implied volatility and pricing in the Chinese option market
Q Fan, S Feng - Finance Research Letters, 2022 - Elsevier
This study investigates the problem of pricing model selection for SSE 50 ETF options in the
Chinese market. Numerous studies identified a volatility smile in the implied volatility of …
Chinese market. Numerous studies identified a volatility smile in the implied volatility of …
Beware of Extreme Investor Sentiments! Indian Evidence on the Performance of Neuro-specific Options Volatility Trading Strategies on the Facets of COVID-19
A Royit, B Jose, J Varghese - Journal of Emerging Market …, 2023 - journals.sagepub.com
This study investigates the dynamic relationship between noise trader sentiment and
excessive volatility in the Indian financial market during the COVID-19 outbreak. It proposes …
excessive volatility in the Indian financial market during the COVID-19 outbreak. It proposes …
The Chinese equity index options market
Abstract Using Bakshi et al.(2000), and Bakshi and Kapadia's (2003) methodology, this
paper studies the Chinese equity index options market that has been developing since …
paper studies the Chinese equity index options market that has been developing since …
New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model
In this paper, based on the Realized GARCH model, the fractional integration Realized
GARCH model is proposed by combining long memory parameters with conditional …
GARCH model is proposed by combining long memory parameters with conditional …
基于实例的上证50ETF 期权Fibonacci 数列的计算术语学研究
杜家利， 于屏方 - 中国科技术语, 2022 - term.org.cn
上证50ETF 期权的推出丰富了市场交易的对冲机制, 拓展了金融衍生品术语研究的领域.
本文对期权交易术语的实值期权, 平值期权, 虚值期权和Fibonacci 期权数列进行了基于交易数据 …
本文对期权交易术语的实值期权, 平值期权, 虚值期权和Fibonacci 期权数列进行了基于交易数据 …
Volatility model applications in China's SSE50 options market
Y Chi, W Hao, Y Zhang - Journal of Futures Markets, 2022 - Wiley Online Library
We investigate the effectiveness of various volatility models using China's Shanghai Stock
Exchange‐50 (SSE50) Index. Regarding in‐sample fit, the generalized autoregressive …
Exchange‐50 (SSE50) Index. Regarding in‐sample fit, the generalized autoregressive …