Results 301 to 310 of about 2,187,371 (360)
The ‘Hidden Cost’ of Sustainable Debt Financing in Emerging Markets
Rickman J, Kothari S, Ameli N.
europepmc +1 more source
Computational neurodevelopment: infant decision-making in changing environments
Adams RA +5 more
europepmc +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Managing Forward Volatility and Skew Risk
SSRN Electronic Journal, 2021The 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
openaire +3 more sources
From Spot Volatility to Forward Volatility
SSRN Electronic Journal, 2012The purpose of this note is to design a very simple algorithm to link the spot and the forward volatility representations. The impact of dividend volatility is stripped out from the forward volatility thanks to an analytic appraoch.
Adil Reghai, Gilles Boya
openaire +3 more sources
Forward Volatility Dynamics in Stochastic Volatility Models Driven by a Gamma Process
SSRN Electronic Journal, 2018Pricing models within the Black-Scholes framework assume that the volatility of the underlying security remains constant over the life of the derivative, which cannot explain long-observed characteristics of the implied volatility surface such as volatility smile and skew.
Lyudmil Zyapkov
openaire +3 more sources
PPlya-Based Approximation for the ATM-Forward Implied Volatility
SSRN Electronic Journal, 2017We introduce a closed form approximation for the implied volatility of ATM-forward options. The relative error of this approximation is uniformly bounded for all option maturities and implied volatilities. The approximation is extremely precise, having relative error less than [Formula: see text] for all options with integrated volatility less than ...
Radoš Radoičić +2 more
openaire +4 more sources
FORWARD AND FUTURE IMPLIED VOLATILITY
International Journal of Theoretical and Applied Finance, 2011We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities.
PAUL GLASSERMAN, QI WU
openaire +4 more sources
Pricing forward-start variance swaps with stochastic volatility
Applied Mathematics and Computation, 2015Abstract In this paper, a general approach is presented to price forward-start variance swaps with discrete sampling times, based on the Heston (1993)’s two-factor stochastic volatility model. Using this approach we work out two analytical closed-form formulae for the price of forward-start variance swap with the realized variance being defined by ...
Zhu, Song-Ping, Lian, Guang-Hua
openaire +5 more sources
A Forward Shooting Grid Method for Option Pricing with Stochastic Volatility
The Journal of Derivatives, 2012One of the most common sources of path dependency in derivatives arises when the volatility is stochastic. This is apparent in the basic binomial model, where time-varying volatility causes the lattice to splinter rather than recombine, leading to n2 different nodes at the nth time step instead of n + 1 nodes in a tree that recombines.
COSTABILE, Massimo +2 more
openaire +5 more sources
Trading volume and volatility in the shipping forward freight market
Transportation Research Part E: Logistics and Transportation Review, 2013This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA) market for dry bulk ships over the period 2007–2011. It is found that FFA price changes have a positive impact on trading volume, suggesting a momentum effect as higher capital gains encourage more transactions.
A. Alizadeh
openaire +3 more sources