Effects of Market Sentiment in Index Option Pricing: A Study of CNX Nifty Index Option

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Derived signals for S & P CNX nifty index futures

Methods: This study considers the Standard & Poor’s CNX Nifty 50 Index futures for data analysis with the application of V-IGARCH (1, 1) two-stage model. The purpose for V-IGARCH (1, 1) is used to observe the positive effects of credit availability on the variance of futures returns. The first stage V-IGARCH (1, 1) endogenous mean and conditional variance returns are measured with exogenous fac...

متن کامل

Trading Volatility Spreads: A Test of Index Option Market Efficiency

If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We first demonstrate, using the canonical correlation method, that there is a common component among the volatilities of the returns on S&P 100 and S&P 500 indexes. We then exploit this commonality by trading on the volat...

متن کامل

Multiple kernel support vector regression for pricing nifty option

The goal of present experiments is to investigate the use of multiple kernel learning as a tool for pricing options in the context of Indian stock market for Nifty index options. In this paper, fair price of an option is predicted by Multiple Kernel Support Vector Regression (MKLSVR) using linear combinations of kernels and Single Kernel Support Vector Regression (SKSVR). Prices of option highl...

متن کامل

How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

متن کامل

Futures Trading and Market Volatility in Indian Equity Market: a Study of Cnx It Index

Research on the impact of the introduction of derivatives on the market volatility has reported mixed evidences. In this paper, we study the volatility implications of the introduction of derivatives on the stock market in India using S&P CNX IT index. To account for the heteroscedasticity in the time series, GARCH model is used. We find clustering and persistence of volatility in different deg...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2009

ISSN: 1556-5068

DOI: 10.2139/ssrn.1490758