Results 1 to 10 of about 2,168,358 (237)
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 +3 more sources
Asymptotics of forward implied volatility [PDF]
arXiv, 2012 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward ...
Antoine Jacquier, Patrick Roome
arxiv +5 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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Quantum Field Theory of Forward Rates with Stochastic Volatility [PDF]
, 2001 In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are analyzed, firstly when volatility is taken to be a function of the forward rates, and secondly when volatility is ...
A. M. Polyakov +11 more
arxiv +5 more sources
The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
Borsa Istanbul Review, 2015 The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear,
Imlak Shaikh, Puja Padhi
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An Examination of Forward Volatility [PDF]
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005 This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities.
Ray Popovic, David Goldsman
openalex +2 more sources
The relationship between corporate forward-looking disclosure and stock return volatility [PDF]
Problems and Perspectives in Management, 2018 The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to
Gehan A. Mousa, Elsayed A. H. Elamir
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Asymptotics of forward implied volatility [PDF]
, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models.
Jacquier, Antoine, Roome, Patrick
core +3 more sources
Path-Conditional Forward Volatility [PDF]
, 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
Alexander Carey
openalex +2 more sources
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]
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
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