Results 11 to 20 of about 184,275 (367)
Asymptotics of Forward Implied Volatility [PDF]
SSRN Electronic Journal, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models.
Antoine Jacquier, Patrick Roome
core +10 more sources
Implied volatility estimation of bitcoin options and the stylized facts of option pricing [PDF]
Financial Innovation, 2021 The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
doaj +2 more sources
Normalization for Implied Volatility [PDF]
arXiv, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
arxiv +4 more sources
The stock implied volatility and the implied dividend volatility [PDF]
Journal of Economic Dynamics and Control, 2022 This study compares the information on the implied volatility surface of a stock-index with the corresponding information on the implied volatility surface of the index dividend futures. We outline an optimisation technique for comparing implied volatility estimates based on the Black-Scholes model, Black model and a model-free approach, for stock ...
Quaye, Enoch N B, Tunaru, Radu
openaire +3 more sources
Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2008 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
Valdo Durrleman
openalex +4 more sources
Implied Volatility and Risk Aversion in a Simple Model with Uncertain Growth [PDF]
, 2009 We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.parameter uncertainty, option pricing, implied volatility,
Frederik Lundtofte
openalex +3 more sources
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
doaj +1 more source
International Journal of Energy Economics and Policy, 2022 We investigate the multi-scale information transmission between two implied volatilities in the energy markets (crude oil volatility and volatility in the energy market) and energy commodities returns (global energy commodity, brent, heating oil ...
Thobekile Qabhobho +3 more
doaj +1 more source
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
openaire +4 more sources
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
openaire +4 more sources