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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Mathematical Finance, 2010Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral +4 more
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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.
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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
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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
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Implied volatility in oil markets
Computational Statistics & Data Analysis, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Borovkova, S.A., Permana, F.J.
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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
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The Informational Content of Implied Volatility
Review of Financial Studies, 1993Implied volatility is widely believed to be informationally superior to historical volatility, because it is the "markets" forecast of future volatility. But for S&P 100 index options, the most actively traded contract in the United States, we find implied volatility.
Canina, Linda, Figlewski, Stephen
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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
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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
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Asymptotics of Implied Volatility to Arbitrary Order
SSRN Electronic Journal, 2011Although Black \& Scholes is no longer considered as a valuable financial model, the implied volatility function is considered an object of primary interest, particular in empirical finance. The present paper proposes a methodology to generate volatility surfaces -- i.e.
Kun Gao, Roger Lee
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