Results 201 to 210 of about 117,062 (250)
Some of the next articles are maybe not open access.
Implied volatility indices – A review
The Quarterly Review of Economics and Finance, 2009An implied volatility index reflects the market expectations for the future volatility of the underlying equity index. This study tests and documents the information content, regarding both the realized volatility and the returns of the underlying equity index, of all publicly available implied volatility indices across the world.
Costas Siriopoulos, Athanasios Fassas
openaire +1 more source
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 ...
Gatheral, Jim +3 more
openaire +2 more sources
A Note on Computation of Implied Volatility
Asia-Pacific Financial Markets, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kagenishi, Yoshiteru +1 more
openaire +2 more sources
FORWARD AND FUTURE IMPLIED VOLATILITY
International Journal of Theoretical and Applied Finance, 2011We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities.
PAUL GLASSERMAN, QI WU
openaire +3 more sources
The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility
Journal of Real Estate Portfolio Management, 2010Executive Summary. This paper examines the characteristics of real estate investment trust (REIT) equity options and the predictive power of ex ante risk measures obtained using option prices.
Dean Diavatopoulos +3 more
openaire +1 more source
From implied to spot volatilities
Finance and Stochastics, 2008This 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.
openaire +1 more source
From Spot Volatilities to Implied Volatilities
SSRN Electronic Journal, 2010The link between spot volatilities and implied volatilities has been actively investigated in the last two decades. Since the pioneering work of Dupire (1994), one knows how to infer the local volatility function from the implied volatility surface. Inverting this formula, i.e., computing implied volatilities from local volatilities, is not an easy ...
Julien Guyon, Pierre Henry-Labordere
openaire +1 more source
Stock Splits, Volatility Increases, and Implied Volatilities
The Journal of Finance, 1989ABSTRACTA test of the efficiency of the Chicago Board Options Exchange, relative to post‐split increases in the volatility of common stocks, is presented. The Black‐Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations (ISDs) around split announcement and ex‐dates.
openaire +1 more source
IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance, 2001For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process.
openaire +2 more sources
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.
Marc Decamps, Ann De Schepper
openaire +1 more source
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.
Marc Decamps, Ann De Schepper
openaire +1 more source