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AN EXPLICIT IMPLIED VOLATILITY FORMULA
International Journal of Theoretical and Applied Finance, 2017We show that an explicit approximate implied volatility formula can be obtained from a Black–Scholes formula approximation that is 2% accurate. The relative error of the approximate implied volatility is uniformly bounded for options with any moneyness and with arbitrary large or small option maturities and volatilities, including for long dated ...
Stefanica, Dan, Radoičić, Radoš
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Social Science Research Network, 2021
This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium.
María T. González-Pérez
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This paper estimates the volatility index term structure for the Spanish bank industry (SBVX) using the implied volatility of individual banks and assuming market correlation risk premium.
María T. González-Pérez
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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
Bryan Kelly +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
Bryan Kelly +2 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, M.T. Maloney
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Information Content of Aggregate Implied Volatility Spread
Management Sciences, 2020Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly,
Bing Han, Gang Li
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Uncertainty and the volatility forecasting power of option‐implied volatility
, 2020This study investigates the impact of uncertainty on the volatility forecasting power of option‐implied volatility. Option‐implied volatility is a powerful predictor of future volatility, particularly during periods of high uncertainty.
Byounghyun Jeon, Sung Won Seo, J. Kim
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The impacts of public news announcements on intraday implied volatility dynamics
Journal of futures markets, 2019We examine the responses of intraday option‐implied volatilities to scheduled announcements of macroeconomic indicators. The increase in implied volatility around macroeconomic news announcements is more pronounced for puts than for calls and is stronger
Jieun Lee, Doojin Ryu
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Emerging markets finance & trade, 2019
This paper makes an initial attempt to investigate the responsiveness of the Islamic stock market returns to the realized and implied volatility of oil prices at different investment horizons.
Muhammad Mahmudul Karim, Mansur Masih
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This paper makes an initial attempt to investigate the responsiveness of the Islamic stock market returns to the realized and implied volatility of oil prices at different investment horizons.
Muhammad Mahmudul Karim, Mansur Masih
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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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A neural network approach to understanding implied volatility movements
Quantitative finance (Print), 2019The expected response of an index volatility surface to index movements is quite different in high and low volatility ...
Jay Cao, Jacky Chen, J. Hull
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