Matches in SemOpenAlex for { <https://semopenalex.org/work/W3109736617> ?p ?o ?g. }
Showing items 1 to 62 of
62
with 100 items per page.
- W3109736617 abstract "This paper introduces a real-time, instantaneous, forward-looking, implied ambiguity index. Ambiguity — the uncertainty of probabilities — is measured by the expected volatility of probabilities. Using option prices, the dynamic and continuous snapshot of the expected (implied) ambiguity in the financial markets is extracted. The ambiguity of risk-neutral probabilities is extracted as well. Similarly to the VIX, the proposed ambiguity indices can be traded. The well-documented relation between ambiguity and rates of return suggests a diversification benefit from including an ambiguity instrument in an investment portfolio. Based upon the proposed ambiguity indices, futures and options can be designed to deliver and trade pure ambiguity exposure in a single efficient package." @default.
- W3109736617 created "2020-12-07" @default.
- W3109736617 creator A5004552701 @default.
- W3109736617 creator A5020188998 @default.
- W3109736617 date "2020-01-01" @default.
- W3109736617 modified "2023-10-18" @default.
- W3109736617 title "A Continuous-Time, Forward-Looking, Implied Ambiguity Index" @default.
- W3109736617 doi "https://doi.org/10.2139/ssrn.3536819" @default.
- W3109736617 hasPublicationYear "2020" @default.
- W3109736617 type Work @default.
- W3109736617 sameAs 3109736617 @default.
- W3109736617 citedByCount "0" @default.
- W3109736617 crossrefType "journal-article" @default.
- W3109736617 hasAuthorship W3109736617A5004552701 @default.
- W3109736617 hasAuthorship W3109736617A5020188998 @default.
- W3109736617 hasConcept C106159729 @default.
- W3109736617 hasConcept C106306483 @default.
- W3109736617 hasConcept C127447990 @default.
- W3109736617 hasConcept C136764020 @default.
- W3109736617 hasConcept C144133560 @default.
- W3109736617 hasConcept C149782125 @default.
- W3109736617 hasConcept C162324750 @default.
- W3109736617 hasConcept C162853370 @default.
- W3109736617 hasConcept C180916674 @default.
- W3109736617 hasConcept C199360897 @default.
- W3109736617 hasConcept C2777382242 @default.
- W3109736617 hasConcept C2780522230 @default.
- W3109736617 hasConcept C2780821815 @default.
- W3109736617 hasConcept C41008148 @default.
- W3109736617 hasConcept C91602232 @default.
- W3109736617 hasConceptScore W3109736617C106159729 @default.
- W3109736617 hasConceptScore W3109736617C106306483 @default.
- W3109736617 hasConceptScore W3109736617C127447990 @default.
- W3109736617 hasConceptScore W3109736617C136764020 @default.
- W3109736617 hasConceptScore W3109736617C144133560 @default.
- W3109736617 hasConceptScore W3109736617C149782125 @default.
- W3109736617 hasConceptScore W3109736617C162324750 @default.
- W3109736617 hasConceptScore W3109736617C162853370 @default.
- W3109736617 hasConceptScore W3109736617C180916674 @default.
- W3109736617 hasConceptScore W3109736617C199360897 @default.
- W3109736617 hasConceptScore W3109736617C2777382242 @default.
- W3109736617 hasConceptScore W3109736617C2780522230 @default.
- W3109736617 hasConceptScore W3109736617C2780821815 @default.
- W3109736617 hasConceptScore W3109736617C41008148 @default.
- W3109736617 hasConceptScore W3109736617C91602232 @default.
- W3109736617 hasLocation W31097366171 @default.
- W3109736617 hasOpenAccess W3109736617 @default.
- W3109736617 hasPrimaryLocation W31097366171 @default.
- W3109736617 hasRelatedWork W11079369 @default.
- W3109736617 hasRelatedWork W11315379 @default.
- W3109736617 hasRelatedWork W12512232 @default.
- W3109736617 hasRelatedWork W1338637 @default.
- W3109736617 hasRelatedWork W2638974 @default.
- W3109736617 hasRelatedWork W3229539 @default.
- W3109736617 hasRelatedWork W324787 @default.
- W3109736617 hasRelatedWork W371721 @default.
- W3109736617 hasRelatedWork W5038004 @default.
- W3109736617 hasRelatedWork W639416 @default.
- W3109736617 isParatext "false" @default.
- W3109736617 isRetracted "false" @default.
- W3109736617 magId "3109736617" @default.
- W3109736617 workType "article" @default.