Results 91 to 100 of about 117,062 (250)
Forecast performance of implied volatility and the impact of the volatility risk premium [PDF]
Forecasting volatility has received a great deal of research attention, with the relative performance of econometric models based on time-series data and option implied volatility forecasts often being considered.
Adam Clements +2 more
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Asymptotic Implied Volatility at the Second Order with Application to the SABR Model [PDF]
, 2015 Louis Paulot
openalex +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
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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
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Leveraged ETF Options Implied Volatility Paradox: A Statistical Study
, 2016 Wolfgang Karl Härdle +2 more
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Implied volatility of foreign exchange options: is it worth tracking? [PDF]
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange rate uncertainty. The aim of our study is to investigate the limits of this statistic.
Klára Pintér, Áron Gereben
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Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? [PDF]
We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield
Liuren WU, Massoud Heidari
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Correct implied volatility shapes and reliable pricing in the rough Heston model [PDF]
Svetlana Boyarchenko +1 more
openalex +1 more source
Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
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