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11.030  Articles
1 of 1.103 pages  |  10  records  |  more records»
This research paper presents statistical comparisons between two methods that are commonly used to estimate option implied Risk-Neutral Densities (RND). These are: 1) mixture of lognormals (MXL); and, 2) volatility function technique (VFT). The former is ... see more

The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, ... see more

The collapse of the Bretton Woods international monetary system in 1971 inaugurated an era of highly fluctuating exchange rates. Part of the reason for this volatility has been the almost complete internationalisation of capital markets, with national cur... see more

According to general asset pricing theory, options should reward their holders for the systematic risk they are bearing. In this paper, we study the returns of foreign exchange options. We find that, by sorting options according to the distance of their i... see more

Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market. ... see more

Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by... see more

The purposes of this study were to determine fair share value, to analyze the factors that influence undervalue and overvalue, and to determine the best valuation method. This study made valuation using real options method and free cash flow to firm metho... see more

This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility on the foreign exchange market. The study uses only forecasts from an asymmetric GARCH model, namely Exponential GARCH (EGARCH) for CHF/RO... see more

This study to analyze the Influence of Inflation, BI Rate on Stock Price Volatility through Currency Exchange as Intervening Variables in Consumer Goods Industry on the Indonesia Stock Exchange. This type of research is a descriptive quantitative research... see more

1 of 1.103 pages  |  10  records  |  more records»