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Uncertainty and the volatility forecasting power of option‐implied volatility
, 2020This study investigates the impact of uncertainty on the volatility forecasting power of option‐implied volatility. Option‐implied volatility is a powerful predictor of future volatility, particularly during periods of high uncertainty.
Byounghyun Jeon, Sung Won Seo, J. Kim
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The Informational Content of Implied Volatility
Review of Financial Studies, 1993Implied volatility is widely believed to be informationally superior to historical volatility, because it is the "markets" forecast of future volatility. But for S&P 100 index options, the most actively traded contract in the United States, we find implied volatility.
Canina, Linda, Figlewski, Stephen
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The impacts of public news announcements on intraday implied volatility dynamics
Journal of futures markets, 2019We examine the responses of intraday option‐implied volatilities to scheduled announcements of macroeconomic indicators. The increase in implied volatility around macroeconomic news announcements is more pronounced for puts than for calls and is stronger
Jieun Lee, Doojin Ryu
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Emerging markets finance & trade, 2019
This paper makes an initial attempt to investigate the responsiveness of the Islamic stock market returns to the realized and implied volatility of oil prices at different investment horizons.
Muhammad Mahmudul Karim, Mansur Masih
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This paper makes an initial attempt to investigate the responsiveness of the Islamic stock market returns to the realized and implied volatility of oil prices at different investment horizons.
Muhammad Mahmudul Karim, Mansur Masih
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Implied Volatility at Expiration
SSRN Electronic Journal, 2008The main result of the paper is a formula for zero time-to-maturity limit of implied volatilities of European options under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the implied volatility smile.
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TIGHTER BOUNDS FOR IMPLIED VOLATILITY
International Journal of Theoretical and Applied Finance, 2017We establish bounds on Black–Scholes implied volatility that improve on the uniform bounds previously derived by Tehranchi. Our upper bound is uniform, while the lower bound holds for most options likely to be encountered in practical applications. We further demonstrate the practical effectiveness of our new bounds by showing how the efficiency of ...
Radoš Radoičić +3 more
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS [PDF]
Mathematical Finance, 2010 Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral +4 more
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A neural network approach to understanding implied volatility movements
Quantitative finance (Print), 2019The expected response of an index volatility surface to index movements is quite different in high and low volatility ...
Jay Cao, Jacky Chen, J. Hull
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SSRN Electronic Journal, 2008
In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Ann De Schepper, Marc Decamps
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In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Ann De Schepper, Marc Decamps
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From implied to spot volatilities [PDF]
Finance and Stochastics, 2008 This paper is concerned with the relation between spot and implied volatilities. The main result is the derivation of a new equation which gives the dynamics of the spot volatility in terms of the shape and the dynamics of the implied volatility surface.
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