Results 101 to 110 of about 187,533 (367)
Real Options Volatility Surface for Valuing Renewable Energy Projects
EnergiesReal options analysis is an adequate tool with which to value companies and projects under investment uncertainty. Nevertheless, the estimation of the volatility to be employed in the valuation procedure is a challenging task.
Rosa-Isabel González-Muñoz +3 more
doaj +1 more source
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
core
Advanced Functional Materials, EarlyView.The PDEM‐based SIGPE provides a dynamic nanophase from Li+‐bridged molecular self‐association, enhancing electrochemical stability and facilitating uniform Li+ ion flux at the interface. This unique solvation structure results in a hetero species‐driven inorganic‐rich SEI and long‐term cycle stability, suggesting that a PFAS‐free Li+‐containing monomer
Susung Yun +5 more
wiley +1 more source
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
doaj +1 more source
Forecasting security's volatility using low-frequency historical data, high-frequency historical data and option-implied volatility [PDF]
arXiv, 2019 Low-frequency historical data, high-frequency historical data and option data are three major sources, which can be used to forecast the underlying security's volatility. In this paper, we propose two econometric models, which integrate three information sources.
arxiv
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
core
Advanced Functional Materials, EarlyView.Heterojunctions combining halide perovskites with low‐dimensional materials enhance optoelectronic devices by enabling precise charge control and improving efficiency, stability, and speed. These synergies advance flexible electronics, wearable sensors, and neuromorphic computing, mimicking biological vision for real‐time image analysis and intelligent
Yu‐Jin Du +11 more
wiley +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
core
Advanced Functional Materials, EarlyView.A pore tuning strategy to amplify the multi‐site MOF‐SO2 interactions is proposed to achieve an enhanced trace SO2 capture and chemiresistive sensing in highly stable isostructural DMOFs by annelating benzene rings. This work provides a facile strategy to achieve tailor‐made stable MOF materials for specific multifunctional applications.
Shanghua Xing +9 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
doaj +1 more source