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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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2016
There is a natural order of market data speed, with spot levels changing faster than at-the-money volatility, at-the-money volatility changing more rapidly than volatility skew and volatilities being more volatile than dividend forecasts. Hedging performance can be improved by assuming a link between different market parameters, see Andreasen and Huge (
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There is a natural order of market data speed, with spot levels changing faster than at-the-money volatility, at-the-money volatility changing more rapidly than volatility skew and volatilities being more volatile than dividend forecasts. Hedging performance can be improved by assuming a link between different market parameters, see Andreasen and Huge (
openaire +1 more source
Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting, 2012Kamil Yilmaz
exaly
The Cross-Section of Volatility and Expected Returns
Journal of Finance, 2006Andrew Ang +2 more
exaly
High idiosyncratic volatility and low returns: International and further U.S. evidence
Journal of Financial Economics, 2009Robert J Hodrick +2 more
exaly