- Inicio
- Listar por autor
Listar por autor "Esparcia, Carlos"
Mostrando ítems 1-2 de 2
-
Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective
López, Raquel; Esparcia, Carlos (International Review of Economics & Finance, 01/2021)This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility ... -
Volatility timing: Pricing barrier options on DAX XETRA index
Esparcia, Carlos ; Ibañez, Elena; Jareño, Francisco (Mathematics, 05/2020)This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options. The construction of a Risk-Neutral Probability ...