On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]
, 2023 Elisa Alòs +2 more
openalex +1 more source
Advanced Functional Materials, EarlyView.A Complexation‐Mediated Diffusion‐Limited Growth (CMDLG) framework is established to rationalize the anisotropic growth of lead‐free perovskites. Integrating coordination chemistry with mass transport kinetics, this study theoretically derives and experimentally validates that stable iodocuprate complexes induce a diffusion‐limited regime.
Hyunmin Lee +5 more
wiley +1 more source
The Small and Large Time Implied Volatilities in the Minimal Market Model [PDF]
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in ...
Eckhard Platen, Zhi Guo
core
Advanced Functional Materials, EarlyView.Ferroelectric memcapacitors enable non‐volatile, voltage‐programmable capacitance tuning for adaptive electronics. A TiN/HfZrO/TiN device stack demonstrates more than eight stable capacitance states within a 24 pF memory window in compact 60 ×$\times$ 60 μm2$\umu{\rm m}^{2}$ devices at low operating voltages.
Deepika Yadav +6 more
wiley +1 more source
Re-examining the leverage effect and gold's safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach. [PDF]
SN Bus Econ, 2021 Panagiotou D.
europepmc +1 more source
The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets [PDF]
This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets.
Cheny Chen, Hoa Nguyen, Ming-Hua Liu
core
, 2020 An implied volatility is the volatility implied by the market price of an option based on the Black Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity. Unlike in other markets that quote volatility versus strike directly, the FX smile
openaire +1 more source
Photon Avalanching Nanoparticles: The Next Generation of Upconverting Nanomaterials?
Advanced Functional Materials, EarlyView.This Perspective outlines the mechanistic foundations that enable photon‐avalanche (PA) behavior in lanthanide nanomaterials and contrasts them with emerging application spaces and forward‐looking design strategies. By bridging threshold engineering, energy‐transfer dynamics, and materials engineering, we provide a coherent roadmap for advancing the ...
Kimoon Lee +7 more
wiley +1 more source
Identifying the implied volatility using the total variation regularization
Boundary Value Problems, 2018 This paper studies an inverse problem of determining the implied volatility in the financial products linked with gold price, which has important application in financial derivatives pricing.
Yun Liu, Xijuan Liu
doaj +1 more source
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Egelkraut, Thorsten M., Garcia, Philip
core +1 more source