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
The Dynamics of DAX Implied Volatilities [PDF]
, 2000 Reinhold Hafner, Martin Wallmeier
openalex +1 more source
Fast‐Responding O2 Gas Sensor Based on Luminescent Europium Metal‐Organic Frameworks (MOF‐76)
Advanced Functional Materials, EarlyView.Luminescent MOF‐76 materials based on Eu(III) and mixed Eu(III)/Y(III) show rapid and reversible changes in emission intensity in response to O2 with very short response times. The effect is based on triplet quenching of the linker ligands that act as photosensitizers. Average emission lifetimes of a few milliseconds turn out to be mostly unaffected by
Zhenyu Zhao +5 more
wiley +1 more source
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, Alan +2 more
core +1 more source
Forecasting Cash Price Volatility of Fed Cattle, Feeder Cattle, and Corn: Time Series, Implied Volatility, and Composite Approaches [PDF]
, 2000 Mark R. Manfredo +2 more
openalex +1 more source
Calibration of the Volatility in Option Pricing Using the Total Variation Regularization
Journal of Applied Mathematics, 2014 In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets.
Yu-Hua Zeng, Shou-Lei Wang, Yu-Fei Yang
doaj +1 more source
Advanced Functional Materials, EarlyView.This study demonstrates a molecular strategy to enhance the stretchability of conjugated polymers by incorporating plasticizing molecular additives (PMAs). PMAs reduce the persistence length and promote chain entanglement, enabling deformable thin films with preserved electrical performance. A systematic analysis combining rheology, neutron scattering,
Sein Chung +11 more
wiley +1 more source
Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility [PDF]
This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly ...
Andrew Reidy +2 more
core
GARCH option pricing with implied volatility [PDF]
, 2001 N'Zue F. Fofana, B. Wade Brorsen
openalex +1 more source
Advanced Functional Materials, EarlyView.The unique brine transportation and salt crystallization behavior, that is, the salt is preferred to be crystallized on the surface of the directional liquid transportation fabric, is discovered and investigated in this work. Abstract Directional and asymmetric liquid transport (DALT) materials are promising for human moisture management and ...
Zhang Hanchao +7 more
wiley +1 more source