Results 21 to 30 of about 118,948 (346)

Implied Volatility String Dynamics [PDF]

, 2003
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Fengler, Matthias R., Härdle, Wolfgang, Mammen, Enno   +2 more
openaire   +2 more sources

On the relationship of implied, realized and historical volatility: evidence from NSE equity index options

Journal of Business Economics and Management, 2014
This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples ...
Puja Padhi, Imlak Shaikh
doaj   +1 more source

Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]

ACRN Journal of Finance and Risk Perspectives, 2021
In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer, Gerhard Larcher, Lukas Larcher   +2 more
doaj   +1 more source

Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets

SAGE Open, 2016
This article investigates the impacts of changes in the U.S.-implied volatility on the changes in implied volatilities of the Euro and Thai stock markets.
Supachok Thakolsri, Yuthana Sethapramote, Komain Jiranyakul   +2 more
doaj   +1 more source

Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]

Seonmul yeongu
This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows.
Changsoo Hong, Yuen Jung Park
doaj   +1 more source

Forward implied volatility expansion in time-dependent local volatility models******

ESAIM: Proceedings and Surveys, 2014
We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
doaj   +1 more source

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source

Stock Returns and Implied Volatility: A New VAR Approach

Economics: Journal Articles, 2012
Bong Soo Lee, Doojin Ryu
doaj   +2 more sources

The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach

Journal of Function Spaces, 2021
It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou, Shican Liu, Shuang Li, Xiangyu Ge   +3 more
doaj   +1 more source

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Journal of Agricultural and Resource Economics, 2006
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
doaj   +1 more source