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Smart betas, return models and the tangency portfolio weights. [PDF]
PLoS OneLennartsson J, Ekman C.
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Quantitative Finance, 2009 This Article does not have an abstract.
Peter Leoni +3 more
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Does Implied Volatility Imply Volatility—in Bonds?
The Journal of Fixed Income, 2001The authors investigate the relationship between the implied volatility derived from option contracts on U.S. Treasury bond futures and the actual volatility observed in these securities. Research has suggested that implied volatility in stock options correctly forecasts realized volatility in stock prices; the authors find the same is true in bonds ...
Eric Bertonazzi, Michael T. Maloney
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SSRN Electronic Journal, 2015
The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Diogo Palhares +2 more
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The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface. We invert it each month from the firm-by-maturity panel of CDS spreads via the Merton model, transforming CDS spreads into units of asset volatility. The CIV surface facilitates direct comparison of credit spreads at different "moneyness" (firm
Diogo Palhares +2 more
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The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility [PDF]
Journal of Real Estate Portfolio Management, 2010 Executive 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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A Note on Computation of Implied Volatility
Asia-Pacific Financial Markets, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yoshiteru Kagenishi, Yoshitane Shinohara
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Implied volatility indices – A review [PDF]
The Quarterly Review of Economics and Finance, 2009 An 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 +3 more
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Implied Volatility at Expiration
SSRN Electronic Journal, 2008The main result of the paper is a formula for zero time-to-maturity limit of implied volatilities of European options under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the implied volatility smile.
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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 ...
Radoš Radoičić +3 more
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