Results 11 to 20 of about 3,057 (166)
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 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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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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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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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 Functions [PDF]
The Journal of Derivatives, 2000 This paper proposes and investigates a class of dynamic implied volatility function models (DIVF). This class of models separates the time-invariant implied volatility function from the stochastic state variables which drive changes in the individual implied volatilities. The dynamics of the state variables are modeled explicitly.
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An Intuitive Introduction to Fractional and Rough Volatilities
Mathematics, 2021 Here, we review some results of fractional volatility models, where the volatility is driven by fractional Brownian motion (fBm). In these models, the future average volatility is not a process adapted to the underlying filtration, and fBm is not a ...
Elisa Alòs, Jorge A. León
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A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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Forecasting Stock Market Volatility: A Combination Approach
Discrete Dynamics in Nature and Society, 2020 We find that combining two important predictors, stock market implied volatility and oil volatility, can improve the predictability of stock return volatility.
Zhifeng Dai +3 more
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The log‐moment formula for implied volatility [PDF]
Mathematical Finance, 2021 AbstractWe revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that in the absence of arbitrage, if the underlying stock price at time T admits finite log‐moments for some positive q, the arbitrage‐free growth in the left wing of the implied volatility smile for T is less constrained than Lee's bound.
Vimal Raval, Antoine Jacquier
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