Results 31 to 40 of about 2,210,161 (360)
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
doaj +1 more source
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
doaj +1 more source
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
openaire +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
An infinite‐dimensional affine stochastic volatility model [PDF]
Mathematical Finance, 2021 We introduce a flexible and tractable infinite‐dimensional stochastic volatility model. More specifically, we consider a Hilbert space valued Ornstein–Uhlenbeck‐type process, whose instantaneous covariance is given by a pure‐jump stochastic process ...
S. Cox, Sven Karbach, A. Khedher
semanticscholar +1 more source
Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Barski, Michał, Zabczyk, Jerzy
openaire +2 more sources
The forward smile in local–stochastic volatility models
, 2016 We introduce an approximation of forward start options in a multi-factor local-stochastic volatility model. We derive explicit expansion formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
Andrea Mazzon, Andrea Pascucci
openalex +4 more sources
Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility [PDF]
The Journal of Derivatives, 2020 31 pages, 9 figures, 2 ...
Peter Carr, Andrey Itkin, Sasha Stoikov
openalex +3 more sources