Results 11 to 20 of about 116,461 (347)
Implied Tail Risk and ESG Ratings
Mathematics, 2021 This paper explores whether the high or low ESG rating of a company is related to the level of its implied tail risk, measured on the basis of derivative data by implied skewness and implied kurtosis.
Jingyan Zhang +2 more
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Journal of Mathematics, 2021 Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
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The Impact of External Factors on Stock Return Volatility in the European Banking Sector
Problemy Zarządzania, 2021 Purpose: The main aim of the paper is to examine the impact of external determinants on the banking stock return volatility to evaluate it in terms of the stock market capitalization.
Katarzyna Niewińska
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The Analysis of Implied Volatilities [PDF]
, 2002 The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market’s expectation of volatility.
Fengler, Matthias +2 more
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The implied volatility smirk [PDF]
Quantitative Finance, 2008 This paper provides an industry standard on how to quantify the shape of the implied volatility smirk in the equity index options market. Our local expansion method uses a second-order polynomial to describe the implied volatility–moneyness function and relates the coefficients of the polynomial to the properties of the implied risk-neutral ...
Zhang, Jin E., Xiang, Yi
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The Application of Symbolic Regression on Identifying Implied Volatility Surface
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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PLoS ONE, 2021 We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market's volatility indices' predictive power on synchronizing global equity indices ...
Nicolás Magner +3 more
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Implied Volatility String Dynamics [PDF]
Research Papers in Economics, 2003 Not ...
Fengler, Matthias R. +2 more
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South African Journal of Economic and Management Sciences, 2017 Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed.
Emlyn Flint, Eben Maré
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Investor Sentiment Index and Option Price Volatility Based on MIDAS Model: Evidence from China [PDF]
SHS Web of Conferences, 2021 The paper selects the transaction data of the option market and network data from June 1, 2015 to February 2, 2018. The principal component analysis is adopted to construct investor sentiment index.
Xiao Haiyan, Hao Yingxin, Wu Sirong
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