THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET [PDF]
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
Egelkraut, Thorsten M. +2 more
core +1 more source
Enhancing Ultrasound Power Transfer: Efficiency, Acoustics, and Future Directions
Advanced Materials, EarlyView.Implantable devices significantly enhance healthcare but are limited by battery life. Ultrasound power transfer technology offers a promising solution for sustainable operation. This review addresses gaps in current research, particularly in sound field analysis and energy efficiency optimization.
Yi Zheng +6 more
wiley +1 more source
Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
doaj +1 more source
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression [PDF]
arXiv, 2012 This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may ...
arxiv
Computational Modeling of Reticular Materials: The Past, the Present, and the Future
Advanced Materials, EarlyView.Reticular materials are advanced materials with applications in emerging technologies. A thorough understanding of material properties at operating conditions is critical to accelerate the deployment at an industrial scale. Herein, the status of computational modeling of reticular materials is reviewed, supplemented with topical examples highlighting ...
Wim Temmerman +3 more
wiley +1 more source
Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. [PDF]
Resour Policy, 2021 Boateng E, Adam AM, Junior PO.
europepmc +1 more source
Investors’ net buying pressure and implied volatility dynamics
Borsa Istanbul Review, 2022 This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday ...
Doojin Ryu +3 more
doaj
The Dynamics of DAX Implied Volatilities [PDF]
, 2000 Reinhold Hafner, Martin Wallmeier
openalex +1 more source
Tracking Brazilian Exchange Rate Volatility [PDF]
This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the ...
Benjamin Miranda Tabak +2 more
core
Implied volatility of basket options at extreme strikes
, 2014 In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality.
A d’Aspremont +29 more
core +1 more source