Results 141 to 150 of about 1,687,826 (388)
, 1998 After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their results in economic terms, their theoretical consequences and their relevance for applications.
openaire +2 more sources
Patterns of 50 ETF Options Implied Volatility in China: On Implied Volatility Functions
, 2021 Pengshi Li, Yan Fei Lin, Yuting Zhong
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Advanced Functional Materials, EarlyView.Permanent magnets derive their extraordinary strength from deep, universal electronic‐structure principles that control magnetization, anisotropy, and intrinsic performance. This work uncovers those governing rules, examines modern modeling and AI‐driven discovery methods, identifies critical bottlenecks, and reveals electronic fingerprints shared ...
Prashant Singh
wiley +1 more source
Using implied volatility to measure uncertainty about interest rates [PDF]
Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty.
Christopher J. Neely
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Advanced Functional Materials, EarlyView.A diisopropyl ether (DIPE)‐based, localized, high‐concentration electrolyte is developed to stabilize both electrodes in aqueous zinc batteries. By reducing water activity and promoting anion‐rich zinc‐ion solvation, it builds robust interphases at both the cathode and anode, ensuring uniform deposition, suppressed corrosion, and highly reversible ...
Yuxuan Wu +4 more
wiley +1 more source
Advanced Functional Materials, EarlyView.An optimized carbon host nanostructure enables a dual‐interface‐dominant architecture in sulfur cathodes of solid‐state Li‐S batteries by selectively forming sulfur|carbon and sulfur|solid electrolyte interfaces. This tailored interfacial configuration accelerates sulfur redox kinetics by establishing enriched Li+/e– transport networks, while ...
Zhao Yang +13 more
wiley +1 more source
Evolution of Market Uncertainty around Earnings Announcements [PDF]
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.
Christophe Pérignon, Dušan Isakov
core
, 2020 An implied volatility is the volatility implied by the market price of an option based on the Black Scholes option pricing model. An interest rate swaption volatility surface is a four dimensional plot of the implied volatility of a swaption as a function of strike and expiry and tenor.
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Advanced Functional Materials, EarlyView.This study introduces a novel chloro boron subphthalocyanine/polymer blend OFET sensor achieving 0.005 ppb limit of detection for ammonia at room temperature and high selectivity against similar amines. An original theoretical framework is proposed to describe the sensing mechanism, relating analyte molecular volume and Lewis basicity to sensor ...
Kavinraaj Ella Elangovan +6 more
wiley +1 more source
Forecast performance of implied volatility and the impact of the volatility risk premium [PDF]
Forecasting volatility has received a great deal of research attention, with the relative performance of econometric models based on time-series data and option implied volatility forecasts often being considered.
Adam Clements +2 more
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