The Relationship of Volatility with Stock Index Option Returns and Prices

QR Code

The Relationship of Volatility with Stock Index Option Returns and Prices

This paper attempts to identify different kinds of volatilities such as backward looking which includes realized volatility and conditional volatility and forward looking which includes implied volatility. As the report deals with time series data hence the Dickey-Fuller unit root and Engle-Granger...

Full description

Bibliographic Details
Main Author:	Tabassum, Saima
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/62161/

Similar Items

The Impact of the Implementation of Stock Index Options on Stock Market Volatility: China Evidence
by: Xiao, Shixin
Published: (2019)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

Multi-scale Volatility in Option Pricing
by: Liu, Shican
Published: (2018)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

The international effect of economic crises on the volatility of futures prices and the volatility of underlying spot prices of stock indexes and commodities
by: Tham, Lucas Yew Jun
Published: (2022)

Modelling and Forecasting the Volatility of Stock Price Index : ASEAN-5 Countries
by: Hoh, Chai Ping
Published: (2014)

Garch Models: Forecasting Volatility and Pricing Options
by: Joshi, Sahil
Published: (2010)

Modeling volatility in foreign currency option pricing
by: Hoque, M., et al.
Published: (2009)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

The impact of oil price volatility on stock market returns: evidence from ASEAN countries
by: Seah, Jiang Ghee
Published: (2019)

Time-varying relationship of news sentiment, implied volatility and stock returns
by: Smales, Lee
Published: (2016)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Modelling and Forecasting Volatility of Stock Index Return Using GARCH Models: an Empirical Evidence of Argentina
by: Xenofontos, Andreas
Published: (2014)

The impact of CSI-300 stock index futures on the volatility of stock price based on panel data analysis
by: HE, RUIZHEN
Published: (2020)

Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
by: Amin, Masoud Yousefi
Published: (2011)

Oil price volatility and macroeconomic factors influence stock market return: A study in Malaysia
by: Chen, Si Ying, et al.
Published: (2014)

The relationship between trading volume, returns and volatility in the Kuala Lumpur Stock Exchange
by: Izani Ibrahim,, et al.
Published: (2000)

Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency analysis
by: Wan, Jieru
Published: (2022)

On the implied volatility from a "purified" option price process
by: Luong, C., et al.
Published: (2014)

A computational scheme for uncertain volatility model in option pricing
by: Zhang, K., et al.
Published: (2009)

The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
by: Abdullah, Mahdhir, et al.
Published: (2002)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

Oil Price Fluctuations and Stock Price Volatility in Southeast Asian Stock Markets
by: Ng, Yuen Yein
Published: (2015)

The price-volume relationship of the Malaysian stock index futures market
by: McGowan, Carl B., et al.
Published: (2011)

Option Pricing Model Based on the Stochastic Volatility and Jump Diffusion Process
by: Liu, Xudong
Published: (2014)

Pricing holder-extendable call options with mean-reverting stochastic volatility
by: Ibrahim, Siti Nur Iqmal, et al.
Published: (2015)

Pricing European call options with interval-valued volatility and interest rate
by: Wang, Song
Published: (2024)

Option pricing via maximization over uncertainty and correction of volatility smile
by: Dokuchaev, Nikolai
Published: (2011)

Investigation of the Return and Volatility Clustering Effects in China Stock Markets
by: Mei, Lirong
Published: (2009)

Stock Return Volatility and the Determinants: An Empirical Study of the US Market
by: Hsu, Chia-Luan
Published: (2009)

The relationship between Qualified Foreign Institutional Investors and stock return volatility：　Evidence from China
by: Ｙｕｗｅｎ, Ｌｕ
Published: (2021)

Seasonality of volatility and returns and their causal relationship in the Kuala Lumpur Stock Exchange / by Toh Hock Chai.
by: Toh, Hock Chai
Published: (2001)

Comparative Analysis Of Gold Price Volatility And Risk-Return Relationship Against Eight Metal Commodities.
by: Ujang, Noridah
Published: (2003)

The impact of launching Stock Index Futures on the volatility of the Chinese stock market
by: Liu, Mengxi
Published: (2008)

Assessing the importance of transaction costs in option pricing: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2009)

The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
by: Zhao, Wenjing
Published: (2009)

A Firm-Level Analysis Of The Relationship Between Gasoline Prices, Oil Prices and the Returns of Chinese Stocks
by: Wang, Hongtai
Published: (2020)

Non-transferable non-hedgeable executive stock option pricing
by: Colwell, D., et al.
Published: (2015)