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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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
A Gaussian semi-parametric implied volatility model [PDF]
Journal of Algorithms & Computational Technology, 2017 Modeling the implied volatility has received extensive attention, as the implied volatility is an important parameter in option pricing. Usually the implied volatility can be approximated by fitting a polynomial about the strike and the maturity or by ...
Xiaoyan Wu +3 more
doaj +2 more sources
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
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
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Role of the Global Volatility Indices in Predicting the Volatility Index of the Indian Economy
Risks, 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
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Implied volatility directional forecasting: a machine learning approach
Quantitative finance (Print), 2021 This study investigates whether the direction of U.S. implied volatility, VIX index, can be forecast. Multiple forecasts are generated based on standard econometric models, but, more importantly, on several machine learning techniques.
Spyridon D. Vrontos +2 more
semanticscholar +1 more source
Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public 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
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Journal of futures markets, 2021 We examine the role of implied volatility, leverage effect, overnight returns and volatility of realized volatility in forecasting realized volatility by extending the heterogeneous autoregressive (HAR) model to include these additional variables.
Dimos S. Kambouroudis +2 more
semanticscholar +1 more source