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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
doaj +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.
Antoine Jacquier, Patrick Roome
core +10 more sources
PCA for Implied Volatility Surfaces [PDF]
The Journal of Financial Data Science, 2020 Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of US equities, there is a PCA-based model with a principal eigenportfolio whose return time series ...
M. Avellaneda +3 more
semanticscholar +5 more sources
Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2008 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
Valdo Durrleman
openalex +4 more sources
Forward implied volatility expansion in time-dependent local volatility models****** [PDF]
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
doaj +2 more sources
Is it worth tracking dollar/real implied volatility?
Economia Aplicada, 2001 In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001.
Sandro Canesso de Andrade +1 more
doaj +2 more sources
The Chebyshev Method for the Implied Volatility [PDF]
Journal of Computational Finance, 2017 The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration.
K. Glau, Paul Herold, D. Madan, C. Pötz
semanticscholar +6 more sources
The stock implied volatility and the implied dividend volatility [PDF]
Journal of Economic Dynamics and Control, 2022 This study compares the information on the implied volatility surface of a stock-index with the corresponding information on the implied volatility surface of the index dividend futures. We outline an optimisation technique for comparing implied volatility estimates based on the Black-Scholes model, Black model and a model-free approach, for stock ...
Quaye, Enoch N B, Tunaru, Radu
openaire +3 more sources
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
semanticscholar +1 more source
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
doaj +1 more source