The impact of firm specific news on implied volatilities

Article Abstract:

An examination of the implied volatility behavior of call options around scheduled news announcement days revealed a substantial rise in implied volatilities during the pre-event period, reaching a maximum on the eve of the news announcement. This drops significantly and gradually returns to its long-run level after the news release. Price movements are larger than expected only on the date of the event.

Research, Prices and rates, Profits, Options (Finance), Corporate profits

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A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options

Article Abstract:

A new approach to modeling the dynamics of implied distributions is discussed. Two new arbitrage-free Monte Carlo simulation methods are presented. The implications on option pricing and risk management are also examined.

United Kingdom, Distributions, Theory of (Functional analysis), Theory of distributions, Monte Carlo method, Monte Carlo methods, Principal components analysis

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Market interactions in returns and volatilities between spot and forward shipping freight markets

Article Abstract:

The forward markets analyzed for its lead - lag relationship in terms of returns and volatilities. The Forward Freight Agreements data are used for this investigation.

Commodity futures

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