Results 1 to 10 of about 9,634 (299)

Path-Conditional Forward Volatility [PDF]

SSRN Electronic Journal, 2006
In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local ...
Alexander Carey
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Investigating the Impact of Agricultural, Financial, Economic, and Political Factors on Oil Forward Prices and Volatility: A SHAP Analysis [PDF]

Energies
Accurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices ...
Hyeon-Seok Kim, Hui-Sang Kim, Sun-Yong Choi   +2 more
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Forward implied volatility expansion in time-dependent local volatility models****** [PDF]

ESAIM: Proceedings and Surveys, 2014
We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
doaj   +2 more sources

Forward Start Volatility Swaps in Rough Volatility Models [PDF]

Asia-Pacific Financial Markets
Abstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya   +2 more
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The forward smile in local–stochastic volatility models

SSRN Electronic Journal, 2016
We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
Andrea Mazzon, Andrea Pascucci
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Journal of Agricultural and Resource Economics, 2006
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
doaj   +2 more sources

Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility

Revista de Contabilidad: Spanish Accounting Review, 2019
The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual
Francisco Bravo Urquiza
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Managing Forward Volatility and Skew Risk

SSRN Electronic Journal, 2021
The forward start dual volatility swap is introduced. It can be regarded as the analog for volatility of what the entropy contract is for variance. Under the risk neutral measure it is shown that the difference between the forward start volatility swap and its dual is approximately the difference between two specific forward start implied volatilities.
Frido Rolloos
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Volatility of Forward Price in Dry Shipping Market

Procedia - Social and Behavioral Sciences, 2013
AbstractThe purpose of this paper is to investigate the volatility of forward contract price during different phases and holding periods in dry bulk shipping market, which could be helpful for the hedging and portfolio on the shipping market. This paper applies the Stochastic Volatility model to analyze the volatility, and the parameters of the model ...
Xiaoxing Gong, Jing Lu
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Finite dimensional Markovian realizations for stochastic volatility forward rate models [PDF]

Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 2002
In \textit{T. Björk} and \textit{L. Svensson} [Math. Finance 11, No. 2, 205--243 (2001; Zbl 1055.91017)]; \textit{D. Filipović}, and \textit{J. Teichmann} [J. Funct. Anal. 197, 398--432 (2003; Zbl 1013.60035)], an abstract Lie algebra theory for the existence of finite-dimensional realizations (FDR) for a stochastic differential equation (SDE) of the ...
Tomas Björk, Camilla Landén, Lars E.O. Svensson   +2 more
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