Results 151 to 160 of about 184,275 (367)
Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly? [PDF]
, 2003 Christopher J. Neely
openalex +1 more source
Option Pricing under Fast-varying and Rough Stochastic Volatility [PDF]
arXiv, 2017 Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the origin. Another classic stylistic feature often assumed for the volatility is that it is mean reverting.
arxiv
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
Advanced Materials Interfaces, EarlyView.A chitosan‐graft‐gelatin hydrogel, incorporating a pH‐responsive dye, bromothymol blue, as a colorimetric freshness indicator is introduced to monitor the spoilage of chicken breasts. The hydrogel indicates microbial activity, and the production of carbon dioxide due to deteriorating food freshness via a change in pH, and serves as a smart and visual ...
Bahareh Farasati Far +7 more
wiley +1 more source
Global Macroeconomic Announcements and Foreign Exchange Implied Volatility
International Journal of Economics and Financial Issues, 2017 This paper examines the impact of the US and Chinese macro economic announcements on foreign exchange implied volatilities of SPX, VXFXI, BPVIX, JYVIX, and EUVIX from 2011 to 2016. The study indicates that implied volatility becomes significant and leads
Muhammad Ishfaq +2 more
doaj
VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION‐IMPLIED VOLATILITY TRADE‐OFF [PDF]
, 2005 Ronnie Donaldson, Mark J. Kamstra
openalex +1 more source
Option market (in)efficiency and implied volatility dynamics after return jumps [PDF]
arXiv, 2018 In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency.
arxiv
A dynamic copula approach to recovering the index implied volatility skew [PDF]
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied ...
Christian Werner +2 more
core
Chemically Reactive Thin Films: Dynamics and Stability
Advanced Materials Interfaces, EarlyView.What happens to a thin liquid film when chemical reactions occur inside it? By means of theoretical analysis, it is showed that such systems (which are very common in heterogeneous catalysis) become very dynamic and not only their wetting properties are strongly affected by the chemical activity, moreover their interface can undergo traveling and ...
Tilman Richter +3 more
wiley +1 more source
, 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