Results 41 to 50 of about 190,252 (236)
On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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Credit-implied forward volatility and volatility expectations
Finance Research Letters, 2016 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
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Risks, 2021 Under the impact of both increasing credit pressure and low economic returns characterizing developed countries, investment levels have decreased over recent years.
Luca Di Persio +2 more
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Energies, 2019 The joint uncertainties of wholesale price and end-user demand quantity often poses huge pricing challenges to energy retailers. However, the literature lacks analysis of such uncertainties’ impacts on retailer pricing behaviors and possible ...
Haitao Xiang +3 more
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Mathematics, 2023 We examine the daily dependence and directional predictability between the returns of crude oil and the Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery of quantile-based techniques, namely the quantile unit root test, the ...
Bechir Raggad, Elie Bouri
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International Journal of Innovation Studies, 2018 This study examines whether the number of forward patent citations (along with alternative patent data)—when used as a proxy for the mixing variable—could infer the aggregate amount of economic-innovation information arriving at the New York Stock ...
Chamil W. Senarathne, Jianguo Wei
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Volatility Spillovers in Capesize Forward Freight Agreement Markets [PDF]
Scientific Programming, 2016 This paper is to investigate spillovers in the Capesize forward freight agreements (FFAs) markets before and after the global financial crisis. The paper chooses four Capesize voyage routes FFAs (C3, C4, C5, and C7), two time-charter routes FFAs (BCIT/C average, BPI T/C average), and spot rates as research subjects, covering the periods 3 January 2006 ...
Xiaoxing Gong, Jing Lu
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Approaches to forecasing option volatility
Вестник Российского экономического университета имени Г. В. Плеханова, 2018 The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change ...
A. V. Azatskiy
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Dynamics of the Forward Curve and Volatility of Energy Futures Prices [PDF]
SSRN Electronic Journal, 2009 The shapes of forward curves of energy commodities are believed to contain information on the volatility of futures prices for these commodities. The slope of the forward curve not only reflects temporal supply and demand conditions, but also the relationship between current and expected market conditions.
W.K. Talley, Amir H Alizadeh-Masoodian
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An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
, 2007 We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, A., Fabbri, G., Goldys, B.
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