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A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility [PDF]

open access: greenarXiv, 2009
We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of 'forward implied variance' in the original derivation of Gatheral, who introduced this representation in his book 'The Volatility Surface'.
Martin Keller‐Ressel, Josef Teichmann
openalex   +2 more sources

Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]

open access: greenarXiv, 2013
We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
Matthew Lorig   +2 more
openalex   +3 more sources

Forward implied volatility expansion in time-dependent local volatility models****** [PDF]

open access: diamondESAIM: 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

A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach [PDF]

open access: greenarXiv, 2011
First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the time-value of a European call option. Then, we formulate an equivalence between the implied normal volatility and the lognormal implied volatility with any strike and any model.
Cyril Grunspan
openalex   +3 more sources

Is it worth tracking dollar/real implied volatility?

open access: diamondEconomia 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

Contagion and Interdependencies: A Dynamic Connectedness approach among Implied Volatilities

open access: yesCogent 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

Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy

open access: yesRisks, 2022
Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This study evaluates the influence of various global implied volatility indices in forecasting the day-to-day binary movements in the ...
Akhilesh Prasad, Priti Bakhshi
doaj   +1 more source

Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]

open access: yesPublic and Municipal Finance, 2016
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
doaj   +1 more source

Implied Tail Risk and ESG Ratings

open access: yesMathematics, 2021
This paper explores whether the high or low ESG rating of a company is related to the level of its implied tail risk, measured on the basis of derivative data by implied skewness and implied kurtosis.
Jingyan Zhang   +2 more
doaj   +1 more source

Can the Implied Information of Options Predict the Liquidity of Stock Market? A Data-Driven Research Based on SSE 50ETF Options

open access: yesJournal of Mathematics, 2021
Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
doaj   +1 more source

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