東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on implied volatility in the ...

Rasiel, Emma.

Linked to FindBook

Google Book

Amazon

博客來

Essays on implied volatility in the equity and currency markets (Behavioral finance).

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on implied volatility in the equity and currency markets (Behavioral finance)./
Author:	Rasiel, Emma.
Description:	148 p.
Notes:	Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4115.
Contained By:	Dissertation Abstracts International64-11A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3111192

Essays on implied volatility in the equity and currency markets (Behavioral finance).
Rasiel, Emma.

Essays on implied volatility in the equity and currency markets (Behavioral finance). - 148 p.

Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4115.

Thesis (Ph.D.)--Duke University, 2003.

My dissertation addresses implied volatility dynamics, both in the time series and in the cross-section. It has long been understood that there is a negative relation between equity returns and the volatility of these returns, and in the first chapter I show that this relationship also holds between equity index returns and implied volatilities from the options markets.Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays on implied volatility in the equity and currency markets (Behavioral finance).
LDR:02391nmm 2200289 4500 001 1860303
005 20041015132126.5
008 130614s2003 eng d
035 $a (UnM)AAI3111192
035 $a AAI3111192
040 $a UnM $c UnM
100 1 $a Rasiel, Emma. $3 1947942
245 1 0 $a Essays on implied volatility in the equity and currency markets (Behavioral finance).
300 $a 148 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4115.
500 $a Chair: Albert S. Kyle.
502 $a Thesis (Ph.D.)--Duke University, 2003.
520 $a My dissertation addresses implied volatility dynamics, both in the time series and in the cross-section. It has long been understood that there is a negative relation between equity returns and the volatility of these returns, and in the first chapter I show that this relationship also holds between equity index returns and implied volatilities from the options markets.
520 $a It is also well-known that the cross-section of Black Scholes implied volatilities over strike prices is typically downward-sloping: the volatility “smile”. In the second chapter, I propose and test a behavioral model for this phenomenon, and demonstrate that the smile can be explained by investors who are loss averse, and exhibit systematic subjective probability distortions. All of these biases are consistent with experimental evidence from the psychology and decision sciences literature.
520 $a The third chapter compares option valuation models based on regime-switching, GARCH, and jump-diffusion processes to a standard smile model, in which Black and Scholes implied volatilities are allowed to vary across strike prices. The other models provide significant improvement over a fixed smile model in fitting GBP and JPY option prices both in-sample and out-of-sample. A time-varying smile model, however, provides hedging performance that is comparable to the other models for the GBP options, suggesting that standard option valuation techniques may provide a reasonable basis for trading and hedging strategies.
590 $a School code: 0066.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0770
690 $a 0508
710 2 0 $a Duke University. $3 569686
773 0 $t Dissertation Abstracts International $g 64-11A.
790 1 0 $a Kyle, Albert S., $e advisor
790 $a 0066
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3111192