Using implied volatility to measure uncertainty about interest rates [PDF]
Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty.
Christopher J. Neely
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A new look at short-term implied volatility in asset price models with jumps [PDF]
, 2012 Aleksandar Mijatović, Peter Tankov
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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 Canesso de Andrade +1 more
doaj
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan +2 more
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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps [PDF]
We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.
Bent Jesper Christensen +2 more
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Evolution of Market Uncertainty around Earnings Announcements [PDF]
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.
Christophe Pérignon, Dušan Isakov
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Patterns of 50 ETF Options Implied Volatility in China: On Implied Volatility Functions
, 2021 Pengshi Li, Yan Fei Lin, Yuting Zhong
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A Market Model for Stochastic Implied Volatility [PDF]
In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options.
Schönbucher, Philpp J.
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Calibration of local volatility using the local and implied instantaneous variance [PDF]
We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities.
Gabriel Turinici
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Does implied volatility reflect a wider information set than econometric forecasts? [PDF]
Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility.
Adam Clements +2 more
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