Download or read book R le et impact de la volatilit dans le pricing d options et de produits d riv s written by Hayette Gatfaoui and published by Editions Publibook. This book was released on 2004 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Valorisation et gestion d options written by Adam Kurpiel and published by . This book was released on 2000 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: NOUS ETUDIONS LES CONSEQUENCES DU CARACTERE ALEATOIRE DE LA VOLATILITE DES ACTIFS FINANCIERS SUR LA VALORISATION DES OPTIONS, SUR L'EFFICACITE DES STRATEGIES USUELLES DE COUVERTURE D'OPTIONS EUROPEENNES ET SUR LA POLITIQUE D'EXERCICE OPTIMAL D'OPTIONS AMERICAINES. NOUS CONSIDERONS UNE CLASSE DE MODELES STANDARDS A VOLATILITE STOCHASTIQUE (MODELES SV STAN♭ DARDS) QUI EST UNE GENERALISATION DIRECTEDU MODELE DE BLACK ET SCHOLES [1973] ET MERTON [1973]. LA DYNAMIQUE DE L'ACTIF RISQUE EST DEFINIE PAR UN PROCESSUS DE DIFFUSION CONTINU. LA VOLATILITE DE L'ACTIF SUIT EGALEMENT UN PROCESSUS DE DIFFUSION, GUIDE PAR UNE SOURCE D'INCERTITUDE SUPPLEMENTAIRE. L'HYPOTHESE D'EXISTENCE D'UN MARCHE LIQUIDE POUR AU MOINS UNE OPTION EUROPEENNE JOUE UN ROLE ESSENTIEL DANS NOTRE ETUDE D'OPTIONS AMERICAINES ETDE STRATEGIES DE COUVERTURE DES OPTIONS EUROPEENNES. PAR AILLEURS, UNE MODELISATION JOINTE DE LA DYNAMIQUE DES PRIX DE L'ACTIF SOUS-JACENT ET DES PRIX D'UNE OPTION EUROPEENNE NOUS PERMET D'ESTIMER TOUS LES PARAMETRES D'UN MODELE SV STANDARD, Y COMPRIS LES PARAMETRES DU PROCESSUS DE PRIX DE RISQUE LIE AU CARACTERE ALEATOIRE DE LA VOLATILITE. NOUS PROPOSONS EGALEMENT DES METHODES NUMERIQUES GENERALES POUR LA RESOLUTION DES MODELES A DEUX VARIABLES D'ETAT. LES MODELES SV SONT UNE PARAMETRISATION DE DEVIATIONS PAR RAPPORT A LA LOG-NORMALITE DES PRIX. ILS PERMETTENT DE RENDRE COMPTE DES PROPRIETES STATISTIQUES DES PRIX DES ACTIFS FINANCIERS, MAIS EGALEMENT DES FAITS STYLISES OBSERVES SUR LES MARCHES D'OPTIONS (COMME LE SMILE DES VOLATILITES IMPLICITES). NOUS ANALYSONS L'IMPACT STATIQUE DE LA VOLATILITE STOCHASTIQUE SUR LES RATIOS DE COUVER♭ TURE DES OPTIONS EUROPEENNES ET SUR LA FRONTIERE D'EXERCICE OPTIMAL DES OPTIONS AMERICAINES. NOUS ETUDIONS EGALEMENT L'IMPACT DYNAMIQUE DE LA VOLATILITE STOCHASTIQUE SUR LA PERFORMANCE DE DIFFE♭ RENTES STRATEGIES DE COUVERTURE DES OPTIONS EUROPEENNES ET SUR LA POLITIQUE D'EXERCICE DES OPTIONS AMERICAINES.

Download or read book Consequences for Option Pricing of a Long Memory in Volatility written by Stephen J. Taylor and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S amp; P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are important because evidence for long memory in volatility has been found in the prices of many assets.

Download or read book Three Essays on the Information Content in Option Prices written by Wan Ni Lai and published by . This book was released on 2009 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: La théorie de l'évaluation des options est sans doute l'un des développements les plus significatifs de la finance moderne. Dans le monde académique, le modèle d'évaluation de Black-Scholes et Merton (BSM) est à l'origine de toute une discipline, celle de l'ingénierie financière, tandis que dans le monde professionnel, il a permis un développement soutenu du marché des options depuis sa publication en 1973. Il est intéressant de noter qu'il y avait 20.000 contrats d'options négocées par jour en 1974 sur le marché du Chicago Board Options Exchange (CBOE), alors que ce nombre s'élevait à 700.000 contrats négociés en 1987 (Bernstein, 1991). En 2008, pas moins de 4,7 millions de contrats d'options ont été négociés chaque jour sur le CBOE. Autre indicateur de la croissance de ce marché, le montant notionnel des contrats en cours a été multiplié par dix au cours des 15 derniéres années selon Buraschi and Jiltsov (2006). Par ailleurs, les options en tant qu'instruments dérivés, constituent une source importante d'informations sur l'actif sous-jacent. Les prix des options échang ées sur le marché intègrent les anticipations des investisseurs quant à l'actif sous-jacent. Il est en effet possible de se servir des prix de marché d'options pour en extraire des informations sur le sous-jacent ou sur les préférences des investisseurs qui participent à ce marché. Il est intéressant de noter que ces informations extraites des prix des options ont une utilité même pour les investisseurs qui ne participent pas directement au marché d'options mais qui s'intéressent uniquement à l'actif sous-jacent lui même. Toutefois, les informations extraites des prix d'options sont souvent liées à un modèle particulier d'évaluation. Par conséquent, la pertinence des informations obtenues dépend de la validité du modèle et des hypothèses sous-jacentes. Par exemple, le modèle de Black-Scholes et Merton est souvent utilisé par les professionnels pour extraire la volatilité implicite des options cotées sur le marché. Celle-ci est définie comme la volatilité qu'il faut utiliser dans la formule de Black-Scholes pour obtenir le prix de cette option cotée, étant donnés les autres paramètres (c'est-à-dire le prix d'exercice, le taux sans risque, le prix du sous-jacent et la maturité de l'option). Paradoxalement, la volatilité implicite extraite à l'aide du modèle BSM est souvent en contradiction avec les hypothèses sur lequel ce modèle repose. Si l'on construit un modèle a priori pour extraire des informations des prix d'options, on peut souvent constater que ces informations implicites remettent en question le modèle même et notamment ses hypothèses sur les paramètres que l'on peut extraire. Cette approche semble donc assez limitée pour fournir des idées sur le contenu de l'information dans les options. Il pourrait donc être intéressant de prendre une approche différente et de poser la question suivante : 1 Peut-on récupérer des informations à partir des prix des options et de leurs rendements sans supposer la validité d'un modèle spécifique a priori ? Bien qu'il existe une vaste littérature sur l'évaluation des options, cette thèse espère apporter une contribution à cette littérature en se concentrant sur l'extraction d'informations des prix et des rendements des options. Outre la volatilitée implicite, la distribution implicite de rendements de l'actif sous-jacent est examinée. Cette thèse se compose de 3 études empiriques que l'on peut résumer de la manière suivante : - Le premier essai vérifie empiriquement l'existence d'une prime de risque de volatilité à partir des rendements d'une stratégie option beta neutre. - Le deuxième essai compare différentes méthodes d'estimation de la distribution implicite des prix de l'actif sous-jacent. - Le troisième essai s'appuie sur les deux premiers afin d'examiner l'évolution du risque de volatilité et de la distribution implicite des rendements au cours de périodes de crise sur les marchés financiers, et en particulier lors de l'éclatement de la bulle internet et lors de la crise financière des années 2007 et 2008. Ces essais tentent d'extraire des informations des prix de marché des options et de leurs rendements sans imposer un modèle d'évaluation, et d'explorer les implications de ces informations dans un contexte pratique. Dans tous les essais, les options analysées sont des options européennes écrit sur un indice de marché ou sur un indice sectoriel. L'information extraite de ces prix d'options concernent donc le marché entier (cas de l'indices S&P 500 ou encore de l'indice DAX) ou un secteur entier (tels que l'indice NASDAQ 100 et le fonds côté en bourse SPDR pour les valeurs du secteur financier).

Download or read book Option Volatility and Pricing Workbook Second Edition written by Sheldon Natenberg and published by McGraw-Hill. This book was released on 2014-11-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Essential Companion to Option Volatility and Pricing Option Volatility and Pricing Workbook explains the key concepts essential to successful trading, teaching you how to use a wide variety of trading strategies and how to select the one that best fits your view of market conditions and individual risk tolerance. It reflects the most current developments and trends in option products and trading strategies, including new information on pricing models, intermarket spreading options, and volatility analysis. Provides step-by-step guides, exercises, fill-in-the blank charts, and other hands-on activities Sheldon Natenberg has been in charge of the education program at Chicago Trading Company, a proprietary derivatives trading firm, since 2000.

Download or read book Basic Option Volatility Strategies written by Sheldon Natenberg and published by John Wiley & Sons. This book was released on 2012-09-27 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now you can learn directly from Sheldon Natenberg! In this unique multimedia course, Natenberg will explain the most popular option pricing strategies. Follow along as this trading legend walks you through the calculations and key elements of option volatility in this video, companion book, and self-test combination. Get The Full Impact Of Every Word Of This Traders' Hall Of Fame Presentation. You'll learn: Implied volatility and how it is calculated, so you can find the best positions; What assumptions are driving an options pricing model to be ahead of the trade; Proven techniques for comparing price to value to increase your number of winning trade; How you can use probability to estimate option prices to increase trading income. Spending time with a trading legend is usually a dream for most traders, but this is your opportunity to get the inside tactics of one of the most sought-after educators in options. With the personal touch of his presentation, Natenberg's educational tool gives all traders, beginner to advanced, access to the powerful insights that can bring ongoing option trading success.

Download or read book Volatility Estimation Techniques in the Pricing of Derivative Contracts written by Emilie Drop and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to evaluate how different volatility estimation techniques impact the quality of pricing option contracts. The theoretical part explains option pricing, qualitative and quantitative parameters of the Black Scholes model, and implied volatility features. The pricing performance of the Black Scholes model with historical volatilities and of the ad hoc Black Scholes model with implied volatilities are assessed with Matlab, using a real option dataset consisting of S & P 500 call options. Moreover, the specification of the regression structure used in the ad hoc Black Scholes model to estimate volatility is analysed. It is shown that the absolute smile regression structure using strike price, time to maturity and their com- bination as independent variables for one-day ahead out of sample pricing is the most accurate technique for pricing options out of all the methods considered.

Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Download or read book Volatility Surface and Term Structure written by Kin Keung Lai and published by Routledge. This book was released on 2013-09-11 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.

Download or read book An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models written by Tiezhu Gao and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I empirically compare the pricing performance of three classes of stochastic volatility option pricing models and the traditional Black-Scholes (1973) model in the pricing of S & P Canada 60 Index Options. The stochastic volatility models that I study are as follows: (1) the ad hoc Black and Scholes (1973) procedure that fits the implied volatility surface, (2) Madan et al.'s (1998) variance gamma model, and (3) Heston's (1993) continuous-time stochastic volatility model. I find that Heston's continuous-time stochastic volatility model outperforms the other models in terms of in-sample pricing and out-of-sample pricing. Second, the addition of the stochastic volatility term to the stochastic volatility model and variance gamma model does not resolve the "volatility smiles" effects, but it reduces the effects. Third, the Black-Scholes model performs adequately in pricing options, with the advantage of simplicity, although it suffers from the shortcoming of the "volatility smiles" effect. Finally, although it includes more parameters, the ad hoc Black and Scholes model does not perform as well as expected.

Download or read book Options for Volatile Markets written by Richard Lehman and published by John Wiley & Sons. This book was released on 2011-08-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.

Download or read book Buprestidae I written by and published by . This book was released on 1926 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Price of Fixed Income Market Volatility written by Antonio Mele and published by Springer. This book was released on 2016-01-11 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

Download or read book Options Pricing and Hedging in a Regime Switching Volatility Model written by Melissa Anne Mielkie and published by . This book was released on 2014 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both deterministic and stochastic volatility models have been used to price and hedge options. Observation of real market data suggests that volatility, while stochastic, is well modelled as alternating between two states. Under this two-state regime-switching framework, we derive coupled pricing partial differential equations (PDEs) with the inclusion of a state-dependent market price of volatility risk (MPVR) term. Since there is no closed-form solution for this pricing problem, we apply and compare two approaches to solving the coupled PDEs, assuming constant Poisson intensities. First we solve the problem using numerical solution techniques, through the application of the Crank- Nicolson numerical scheme. We also obtain approximate solutions in terms of known Black- Scholes formulae by reformulating our problem and applying the Cauchy-Kowalevski PDE theorem. Both our pricing equations and our approximate solutions give way to the analysis of the impact of our state-dependent MPVR on theoretical option prices. Using financially intuitive constraints on our option prices and Deltas, we prove the necessity of a negative MPVR. An exploration of the regime-switching option prices and their implied volatilities is given, as well as numerical results and intuition supporting our mathematical proofs. Given our regime-switching framework, there are several different hedging strategies to investigate. We consider using an option to hedge against a potential regime shift. Some practical problems arise with this approach, which lead us to set up portfolios containing a basket of two hedging options. To be more precise, we consider the effects of an option going too far in- and out-of-the-money on our hedging strategy, and introduce limits on the magnitude of such hedging option positions. A complementary approach, where constant volatility is assumed and investor's risk preferences are taken into account, is also analysed. Analysis of empirical data supports the hypothesis that volatility levels are a effected by upcoming financial events. Finally, we present an extension of our regime-switching framework with deterministic Poisson intensities. In particular, we investigate the impact of time and stock varying Poisson intensities on option prices and their corresponding implied volatilities, using numerical solution techniques. A discussion of some event-driven hedging strategies is given.

Download or read book A Semiparametric Estimation of Liquidity Effects on Option Pricing written by Eva Ferreira and published by . This book was released on 1999 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Option Volatility and Pricing Value Pack written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 2017-12-25 with total page 942 pages. Available in PDF, EPUB and Kindle. Book excerpt: Save big! The knowledge and practice investors need to conquer the options market—two powerful guides in one affordable package You don’t need to enroll in an expensive investing course to get the theory, instruction, and practice you need to conquer the options market. This priced-to-move combo includes two unbeatable guides that will get your portfolio where you want it to be: the new edition of Sheldon Natenberg’s Option Volatility and Pricing—which offers the information, background, and investing techniques you need to navigate the market—along with his Options Volatility and Pricing Workbook, which provides a wide range of hands-on exercises readers can use to practice their methods before entering the market.

Download or read book Evaluation Des Swaps de Variance Et de Volatilit written by Anass Kadiri and published by Omniscriptum. This book was released on 2011-03 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cet ouvrage a pour but de pr senter les principales strat gies et produits permettant le trading de volatilit . Jusque-l , seules les options taient utilis es cet effet malgr qu'elles repr sentent un moyen impur de s'y exposer. R cemment, de nouveaux contrats se sont d velopp s sur les march s financiers afin de permettre aux investisseurs de s'exposer purement et simplement la volatilit . Dans la premi re partie de cet ouvrage, nous donnons quelques rappels sur les options financi res. La deuxi me partie offre un aper u des diff rentes strat gies optionnelles, qu'elles soient statiques ou dynamiques. Nous tudions en troisi me et quatri me partie les mod les d' valuation ainsi que les strat gies de duplication des swaps de variance et de volatilit . Enfin, en cinqui me et derni re partie, nous introduisons les swaps de covariance et de corr lation.