FIX: The Fear Index—Measuring Market Fear

DOI10.1007/978-1-4614-3433-7_4zbMath1296.91219OpenAlexW1487141430MaRDI QIDQ2920952

M. B. Forys, Wim Schoutens, Jan Dhaene, Julia Dony, Daniël Linders

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_4

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution ⋮ The herd behavior index: a new measure for the implied degree of co-movement in stock markets ⋮ Systemic risk tradeoffs and option prices ⋮ Implied liquidity risk premia in option markets ⋮ Stochastic modelling of herd behaviour indices ⋮ A quarterly time-series classifier based on a reduced-dimension generated rules method for identifying financial distress ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ A framework for robust measurement of implied correlation

Cites Work

• The Pricing of Options and Corporate Liabilities
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Static super-replicating strategies for a class of exotic options
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• An easy computable upper bound for the price of an arithmetic Asian option
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• Static-arbitrage upper bounds for the prices of basket options

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