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Implied Volatility with Time-Varying Regime Probabilities [PDF]

This paper presents a mixture multiplicative error model with a time-varying probability between regimes. We model the implied volatility derived from call and put options on the USD/EUR exchange rate.
Ahoniemi, Katja, Lanne, Markku
core +1 more source

FX Implied Volatility

, 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

DSFM fitting of Implied Volatility Surfaces [PDF]

The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely
Matthias Fengler, Szymon Borak, Wolfgang Härdle +2 more
core

Local and implied volatilities with the mixed-modified-fractional-Dupire model

, 2021
Eric Djeutcha, Jules Sadefo Kamdem
openalex +2 more sources

Implied volatility and future market return [PDF]

Insurance Markets and Companies, 2010
Ping Hsiao, Ming Li
doaj

Forecasting implied volatilities of currency options with machine learning techniques and econometrics models [PDF]