Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons
Article Abstract:
Empirical studies on currencies and stock indices reveal that options traders did not anticipate the market crash of 1987. Studies show that the US market experienced left-skewness of volatility smiles after the crash while smiles on UK index options remained the same. This is attributed to a gap between US and UK markets in understanding what causes the changes in the smiles. Further research is needed to determine why put implied volatilities exceed call volatilities and what causes the gap between observed and implied volatility.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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A note on the valuation of an exotic timing option
Article Abstract:
An exotic timing option entitles a person during payoff to have the difference between the maximum value of the underlying asset during the option's life and the initial asset value. This policy allows its holder not to have a less than zero value with regards to maximum value maturity due to the fact that the highest asset price during option's life is always higher than the initial asset value.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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Pricing American exchange options in a jump-diffusion model
Article Abstract:
The development of a jump-diffusion model for the evaluation of American exchange options is described. The application of the Richardson extrapolation technique, to combine European and Bermudan exchange options with different exercise dates, is described in this context.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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