Results 91 to 100 of about 187,533 (367)
A Review of Volatility and Option Pricing [PDF]
arXiv, 2009 The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less commonly known models e.g.
arxiv
A Strong and Water‐Retaining Biomass Adhesive Inspired by Tofu
Advanced Functional Materials, EarlyView.Drawing inspiration from the formation mechanism of the traditional food tofu, a strong and water‐retaining adhesive is designed using the soybean meal (SM) oxidized by glucose oxidase (GOx) and calcium sulfate oligomer (CSO). This design strategy effectively addresses the conflicting requirements of water‐resistant bonding strength and water retention
Jiawei Shao +8 more
wiley +1 more source
Can there be an explicit formula for implied volatility? [PDF]
arXiv, 2012 It is "well known" that there is no explicit expression for the Black-Scholes implied volatility. We prove that, as a function of underlying, strike, and call price, implied volatility does not belong to the class of D-finite functions. This does not rule out all explicit expressions, but shows that implied volatility does not belong to a certain large
arxiv
Forecasting Exchange Rate Volatility in the Presence of Jumps [PDF]
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump ...
Bent Jesper Christensen +2 more
core
Credit-implied forward volatility and volatility expectations
Finance Research Letters, 2016 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
openaire +3 more sources
Advanced Functional Materials, EarlyView.Ru‐substituted hexagonal perovskite SrMnO3, featuring face‐shared oxygen species, is designed as an effective heterogeneous catalyst for the aerobic oxidation of sulfides. The catalyst demonstrates high selectivity to sulfones (>99%) under mild reaction conditions (≥30 °C). Ru substitution promotes oxygen vacancy formation of face‐shared oxygen species
Keiju Wachi +5 more
wiley +1 more source
E-Jurnal Matematika, 2016 Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the
IDA AYU EGA RAHAYUNI +2 more
doaj +1 more source
Implied Volatility Structure in Turbulent and Long-Memory Markets
Frontiers in Applied Mathematics and Statistics, 2020 We consider fractional stochastic volatility models that extend the classic Black–Scholes model for asset prices. The models are general and motivated by recent empirical results regarding the behavior of realized volatility. While such models retain the
Josselin Garnier, Knut Sølna
doaj +1 more source
STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES [PDF]
This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index.
Kazuhiko NISHINA +2 more
core
Advanced Functional Materials, EarlyView.A strongly correlated electron system (SCES) exhibits pronounced insulating behavior due to Coulombic repulsion between cations, which generates a charge gap. This study investigates the tuning of the band structure in NiWO4‐based SCES via Cu doping at substitutional sites and Li doping at interstitial sites.
Seung Yong Lee +18 more
wiley +1 more source