Financial Events Risk Assessment Based on Historical Data Analysis

被引：0

作者：

Sosinovich E.S. ^{[1
]}

Chubrick D.M. ^{[1
]}

Doubrov B.M. ^{[1
]}

Zhuk E.E. ^{[1
]}

机构：

[1] Belarusian State University, Minsk

来源：

Journal of Mathematical Sciences | 2022年 / 267卷 / 2期

关键词：

D O I：

10.1007/s10958-022-06127-w

中图分类号：

学科分类号：

摘要：

This article examines the currency options pricing models and their connection to economic calendar events. We introduce the concept of a financial events weight. We obtained formulas that establish the relationship between daily volatility and financial events weight. We propose estimation methods for events weight based on the prices of over-night options and daily volatility. © 2022, Springer Science+Business Media, LLC, part of Springer Nature.

引用

页码：222 / 227

页数：5

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