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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.
Romain Bompis, Julien Hok
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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
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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 vy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward ...
Antoine Jacquier, Patrick Roome
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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 C. Andrade +1 more
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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
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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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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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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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Implied Tail Risk and ESG Ratings
Mathematics, 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
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Journal 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
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