Results 1 to 10 of about 116,461 (347)
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
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 +2 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
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
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
DSFM fitting of Implied Volatility Surfaces [PDF]
SSRN Electronic Journal, 2005 The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely
Matthias Fengler +2 more
core +7 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
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
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
doaj +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
doaj +1 more source