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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
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
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
doaj +1 more source
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
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
doaj +1 more source
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
openaire +1 more source
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
FEBS Open Bio, EarlyView.The brown marmorated stink bug, Halyomorpha halys, mainly secretes 4‐oxo‐(E)‐2‐hexenal, (E)‐2‐decenal, dodecane and tridecane, a mixture representative of that released by many heteropterans. We demonstrated that H. halys can synthesise these secretory components de novo using dietary glucose.
Haruna Fujimori, Koji Noge
wiley +1 more source
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
doaj +1 more source
Arthritis Care &Research, EarlyView.Objective Systemic lupus erythematosus (SLE) significantly impacts employment capacity. This study aimed to investigate the impact of burden of disease activity, damage, and treatment on employment outcomes and transitions in patients with SLE. Methods Using data from a single center, we analyzed employment transitions, adjusted mean disease activity ...
Javier Mencia‐Ledo +4 more
wiley +1 more source