Results 101 to 110 of about 184,275 (367)
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.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
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 Healthcare Materials, EarlyView.Microneedle‐assisted RA therapy with MC complexes in CCMNP effectively treats cartilage degradation and synovitis without visceral damage. The dual capability in therapeutic intervention and in situ monitoring inflammation through local pH and ROS levels facilitates the dynamic adjustment of treatment protocols and represents a paradigm shift in the RA
Lili Jin +6 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
Universal Hydrogel Carrier Enhances Bone Graft Success: Preclinical and Clinical Evaluation
Advanced Healthcare Materials, EarlyView.TX hydrogel improves the delivery of different types of particulate bone grafts, maintaining them at the implantation sites, and resulting in favorable bone regenerative outcomes. Abstract Orthopedic, maxillofacial, and complex dentoalveolar bone grafting procedures that require donor‐site bone harvesting can be associated with post‐surgical ...
Dax Calder +9 more
wiley +1 more source
, 2021 An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. Given an option price, the model can calculate implied volatility.
openaire +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