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Implied volatility in oil markets
Computational Statistics & Data Analysis, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Borovkova, S.A., Permana, F.J.
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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 ...
Gatheral, Jim +3 more
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From implied to spot volatilities
Finance and Stochastics, 2008This paper is concerned with the relation between spot and implied volatilities. The main result is the derivation of a new equation which gives the dynamics of the spot volatility in terms of the shape and the dynamics of the implied volatility surface.
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The Predictive Power of REIT Implied Volatility and Implied Idiosyncratic Volatility
Journal of Real Estate Portfolio Management, 2010Executive 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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FORWARD AND FUTURE IMPLIED VOLATILITY
International Journal of Theoretical and Applied Finance, 2011We address the problem of defining and calculating forward volatility implied by option prices when the underlying asset is driven by a stochastic volatility process. We examine alternative notions of forward implied volatility and the information required to extract these measures from the prices of European options at fixed maturities.
PAUL GLASSERMAN, QI WU
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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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Stock Splits, Volatility Increases, and Implied Volatilities
The Journal of Finance, 1989ABSTRACTA test of the efficiency of the Chicago Board Options Exchange, relative to post‐split increases in the volatility of common stocks, is presented. The Black‐Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations (ISDs) around split announcement and ex‐dates.
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IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance, 2001For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process.
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Implied Volatility Changes and Corporate Bond Returns
Management Science, 2023Jie Cao, Amit Goyal, Xintong Zhan
exaly
Whose sentiment explains implied volatility change and smile?
Finance Research Letters, 2023Doojin Ryu, Doowon Ryu, Heejin Yang
exaly