Estimating Dynamics of S&P 500 Index and Volatility Using Option Market Data

2005 ◽  
Author(s):  
Shu Yan
Keyword(s):  
Market Data ◽  
Option Market

scholarly journals On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

2005 ◽  
Vol 2005 (3) ◽  
pp. 235-258 ◽  
Author(s):  
Martin Jandačka ◽  
Daniel Ševčovič
Keyword(s):  
Transaction Costs ◽  
Real Option ◽  
Time Lag ◽  
Derivative Securities ◽  
Volatility Smile ◽  
Market Data ◽  
Nonlinear Parabolic ◽  
Black Scholes ◽  
Parabolic Pde ◽  
Option Market

We analyse a model for pricing derivative securities in the presence of both transaction costs as well as the risk from a volatile portfolio. The model is based on the Black-Scholes parabolic PDE in which transaction costs are described following the Hoggard, Whalley, and Wilmott approach. The risk from a volatile portfolio is described by the variance of the synthesized portfolio. Transaction costs as well as the volatile portfolio risk depend on the time lag between two consecutive transactions. Minimizing their sum yields the optimal length of the hedge interval. In this model, prices of vanilla options can be computed from a solution to a fully nonlinear parabolic equation in which a diffusion coefficient representing volatility nonlinearly depends on the solution itself giving rise to explaining the volatility smile analytically. We derive a robust numerical scheme for solving the governing equation and perform extensive numerical testing of the model and compare the results to real option market data. Implied risk and volatility are introduced and computed for large option datasets. We discuss how they can be used in qualitative and quantitative analysis of option market data.

Evidence-based regulation of labour migration in OECD countries: setting quotas, selection criteria, and shortage lists

2014 ◽  
Vol 11 (1) ◽  
pp. 11-22 ◽  
Author(s):  
Jonathan Chaloff
Keyword(s):  
Labour Market ◽  
Selection Criteria ◽  
Oecd Countries ◽  
Market Analysis ◽  
Multiple Criteria ◽  
Labour Migration ◽  
Evidence Based ◽  
Periodic Review ◽  
Market Data ◽  
Almost All

The growing complexity of selection criteria for discretionary labour migration in OECD countries has been accompanied by an expanded demand for labour market analysis and consultation with stakeholders. While some features of general or detailed criteria may be fixed in legislation, numerical quotas or targets, shortage lists, and multiple-criteria points-based systems are generally subject to periodic review and revision based on labour market data and consultation with stakeholders. Official government bodies have maintained co-ordination of this process, with varying degrees of externalization. In most countries expertise is internal, with recourse to external mandated bodies rare. In almost all cases, however, the process is designed to promote consensus around the policy while maintaining political control.

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