Browsing by Author "Guidolin, Massimo"
Now showing items 1-4 of 4
-
(Elsevier, 2014)We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
-
(Elsevier B.V., 2019)The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...
-
(Elsevier, 2015)We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...
-
(Wiley-Blackwell, 2016)We price S&P 500 index options under the assumption that the conditional risk-neutral density function of the index follows a Semi-Nonparametric (SNP) process with GARCH variance. The model is estimated combining a set of ...
