Search Results

Showing results 1 to 10 of approximately 88.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Generalized put-call parity
Babbel, David F.; Eisenberg, Laurence K. (1991)
FRB Atlanta Working Paper , Paper 91-9

Working Paper
Option pricing with random volatilities in complete markets
Eisenberg, Laurence K.; Jarrow, Robert A. (1991)
FRB Atlanta Working Paper , Paper 91-16

Working Paper
Recovering risk aversion from options
Bliss, Robert R.; Panigirtzoglou, Nikolaos (2001)
Cross-sections of option prices embed the risk-neutral probability densities functions (PDFs) for the future values of the underlying asset. Theory suggests that risk-neutral PDFs differ from market expectations due to risk premia. Using a utility function to adjust the risk-neutral PDF to produce subjective PDFs, we can obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential utility functions, we show that subjective PDFs accurately forecast the distribution of realizations, while risk-neutral PDFs do not. The ...
Working Paper Series , Paper WP-01-15

Journal Article
Options fever
Pozdena, Randall (1982)
FRBSF Economic Letter

Journal Article
Margin requirements on equity instruments
Sofianos, George (1988-07)
Quarterly Review , Volume 13 , Issue Sum , Pages 47-60

Report
Options positions: risk management and capital requirements
Hendricks, Darryll; Shin, Soo; Walter, Stefan; Estrella, Arturo; Kambhu, John (1994)
Research Paper , Paper 9415

Report
Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
Lopez, Jose A.; Walter, Christian (1997)
This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the implied correlations from two currency trios with markedly different characteristics over two forecast horizons (one month and three months) against a set of alternative correlation forecasts based on time-series data. ; For the correlations in the USD/DEM/ JPY currency trio, we find that the ...
Research Paper , Paper 9730

Report
Equity Volatility Term Premia
Van Tassel, Peter (2018-09-01)
This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk initially, but then increase at a lag, predicting VIX futures returns. By modeling the logarithm of realized variance, the paper derives a closed-form relationship between the prices of variance swaps and VIX futures. The model provides accurate pricing and highlights periods of dislocation between the index options and VIX futures markets. Term premia ...
Staff Reports , Paper 867

Conference Paper
The globalization of trading and its implications for financial system risk
Cone, Kenneth R. (1989)
Proceedings , Paper 244

Report
Taylor, Black and Scholes: series approximations and risk management pitfalls
Estrella, Arturo (1995)
Risk managers make frequent use of finite Taylor approximations to option pricing formulas, particularly of first and second order (delta and gamma). This paper shows that for a plausible range of parameter values, the Taylor series for the Black-Scholes formula diverges. Using a numerical technique developed in the paper, it is also shown that even when the series converges, finite approximations of very large order are generally necessary to achieve acceptable levels of accuracy. Implications for risk management and stress testing are discussed.
Research Paper , Paper 9501

show more (1)

show more (3)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords