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Predictability and predictors of volatility smirk: a study on index options
Business: Theory and Practice, 2017 The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the ...
Rajesh Pathak, Amarnath Mitra
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THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS [PDF]
Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied
Manfredo, Mark R., Sanders, Dwight R.
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The Analysis of Implied Volatilities [PDF]
, 2002 The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market’s expectation of volatility.
Fengler, Matthias +2 more
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Advanced Functional Materials, EarlyView.Gd‐doped BFO (BGFO) exhibits a ∼2‐order reduction in leakage current owing to its lowest content of oxygen vacancies. This leads to a ∼2.5‐fold increase in remnant polarization. These improvements in BGFO effectively boost charge separation and transportation, resulting in the greatest incident photon‐to‐current efficiency of 12.9 ± 0.73% and a ∼1.5 ...
Ming‐Wei Chu +7 more
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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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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
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Advanced Functional Materials, EarlyView.Two‐photon lithography (TPL) enables 3D magnetic nanostructures with unmatched freedom in geometry and material choice. Advances in voxel control, deposition, and functionalization open pathways to artificial spin ices, racetracks, microrobots, and a number of additional technological applications.
Joseph Askey +5 more
wiley +1 more source
AIMS MathematicsIn this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents.
Min-Ku Lee, Jeong-Hoon Kim
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The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices [PDF]
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for ...
Bent Jesper Christensen +1 more
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Implied volatility of basket options at extreme strikes
, 2014 In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont +29 more
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