Implied volatility estimation of bitcoin options and the stylized facts of option pricing [PDF]
Financial Innovation, 2021 The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
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The Application of Symbolic Regression on Identifying Implied Volatility Surface [PDF]
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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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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Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. [PDF]
Resour Policy, 2021 Boateng E, Adam AM, Junior PO.
europepmc +3 more sources
Asymptotics of forward implied volatility [PDF]
SSRN Electronic Journal, 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
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High Policy Uncertainty and Low Implied Market Volatility – an Academic Puzzle?
, 2021 Jedrzej Pawel Bialkowski +2 more
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Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models
The Review of financial studies, 2017 This paper proposes “implied stochastic volatility models” designed to fit option-implied volatility data and implements a new estimation method for such models.
Yacine Aı̈t-Sahalia +2 more
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The stock implied volatility and the implied dividend volatility [PDF]
Journal of Economic Dynamics and Control, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Quaye, Enoch N B, Tunaru, Radu
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Simulation of Arbitrage-Free Implied Volatility Surfaces
Social Science Research Network, 2023 We present a computationally tractable method for simulating arbitrage-free implied volatility surfaces. We illustrate how our method may be combined with a data-driven model based on historical SPX implied volatility data to generate dynamic scenarios ...
R. Cont, Milena Vuletić
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Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities
Cogent Economics & Finance, 2022 This study employs the TVP-VAR approach to capture the degree of interdependencies and contagion among sixteen implied volatilities. The 16 daily implied volatility indices comprise the implied volatility from various financial assets, such as ...
Gilbert K. Amoako +4 more
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