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An analysis between implied and realised volatility in the Greek Derivatives Market [PDF]
, 2009 In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with
Chance, D. +4 more
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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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PCA for Implied Volatility Surfaces [PDF]
The Journal of Financial Data Science, 2020 Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return time series lies close to that of an overarching market factor.
George Papanicolaou +3 more
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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
doaj +1 more source
The Chebyshev method for the implied volatility [PDF]
Journal of Computational Finance, 2019 The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the Black-Scholes formula its inverse, the implied volatility, is not explicitly available and numerical approximation is required.
Glau, K, Herold, P, Madan, DB, Potz, C
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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
doaj +1 more source
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
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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 +2 more
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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 +2 more
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From characteristic functions to implied volatility expansions [PDF]
, 2014 For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log ...
Jacquier, Antoine, Lorig, Matthew
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