Results 21 to 30 of about 9,634 (299)
Asymptotics of Forward Implied Volatility [PDF]
SSRN Electronic Journal, 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 vy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward ...
Antoine Jacquier, Patrick Roome
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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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Jurnal Ilmiah Akuntansi dan Bisnis, 2020 This study aims to investigate the role of forward contract hedging in maintaining volatility cash flow and growth opportunity and its impact on investor reaction.
Hartono Hartono +2 more
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Electronic Research Archive, 2022 In this paper, we propose an adaptive neural network surrogate method to solve the implied volatility of American put options, respectively. For the forward problem, we give the linear complementarity problem of the American put option, which can be ...
Yiyuan Qian +3 more
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Determinants of the Forward Premium in the Nord Pool Electricity Market
Energies, 2020 Nord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency.
Erik Haugom +2 more
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Spot and forward volatility in foreign exchange [PDF]
Journal of Financial Economics, 2011 This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates.
Della Corte, Pasquale +2 more
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Applied Mathematics in Science and Engineering, 2023 The forward-looking policy is useful for joint decision-making between public and monetary authorities. The study calculates the monetary policy transparency index, inflation expectations, and their volatility spillover effects at a data-driven angle ...
Qizhi He, Mati ur Rahman, Cuihua Xie
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Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Barski, Michał, Zabczyk, Jerzy
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A possible interpretation of financial markets affected by dark volatility
Communications in Analysis and Mechanics, 2023 The aim of this paper is to use a special type of Einstein warped product manifolds recently introduced, the so-called PNDP-manifolds, for the differential geometric study, by focusing on some aspects related to dark field in financial market such as the
Richard Pinčák +5 more
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Forward/forward volatilities and the term structure of implied volatility
Applied Economics Letters, 1997 Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.
Owain Ap Gwilym, Mike Buckle
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