The intraday distribution of volatility and the value of wildcard options

Article Abstract:

Wildcard options and intraday volatility on the Financial Times Stock Exchange and the stock exchanges in the US are examined. Results show a major difference between the UK and the USA.

Analysis, Options (Finance), Stock options, Financial Times Industrial Share Index (Index)

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Return and volatility dynemics in the FT-SE stock index and stock index futures market

Article Abstract:

A model of stock index future contracts is developed and constructed for the Financial Times Stock Exchange index. The relationship between return leads and lags and stock volatility is also investigated.

Stock index futures, Financial Times Stock Exchange 100 Index (Index)

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Volatility and maturity effects in the Nikkei index futures

Article Abstract:

A model for maturity and volatility for both the spot and futures markets is presented. The Nikkei 225 Index is used for the basic analysis.

Japan, Nikkei 225 Index (Index)

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