Results 21 to 30 of about 3,057 (166)
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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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
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Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]
Seonmul yeonguThis 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
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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
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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 +3 more
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Maturity cycles in implied volatility [PDF]
Finance and Stochastics, 2004 The purpose of the paper is to study the performance of the observed implied volatility surface \(I\) that is reduced to an affine function of the log-moneyness-to-maturity ratio (LMMR) of the form \[ I = a\times \text{LMMR} + b,\qquad \text{LMMR} = \frac{\log(K/S)}{T-t}, \] where \(K\) is the strike price, \(T\) is the expiration date, and \(S\) is ...
Jean-Pierre Fouque +3 more
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Investors’ net buying pressure and implied volatility dynamics
Borsa Istanbul Review, 2022 This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday ...
Doojin Ryu +3 more
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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
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Patterns of 50 ETF Options Implied Volatility in China: On Implied Volatility Functions
E+M Ekonomie a Management, 2021 The aim of this study is to examine the volatility smile based on the European options on Shanghai stock exchange 50 ETF. The data gives evidence of the existence of a well-known U-shaped implied volatility smile for the SSE 50 ETF options market in China. For those near-month options, the implied volatility smirk is also observed.
Li, Pengshi, Lin, Yan, Zhong, Yuting
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