Results 311 to 320 of about 116,461 (347)
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SSRN Electronic Journal, 2008
In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Ann De Schepper, Marc Decamps
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In this note, we present a novel approach to derive asymptotics for Black implied volatilities under the same generic model as proposed in Antonov and Misirpashaev (2009). We perform a time substitution as used by Duru and Kleinert (1979) to calculate the path integral formulation of the H-atom.
Ann De Schepper, Marc Decamps
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From implied to spot volatilities [PDF]
Finance and Stochastics, 2008 This 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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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS [PDF]
Mathematical Finance, 2010 Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral +4 more
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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 ...
Radoš Radoičić, Dan Stefanica
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SSRN Electronic Journal, 2004
Hallerbach (2004) derives an approximation formula to compute a Black-Scholes implied volatility. This formula is equivalent to equation (7) in Corrado and Miller (1996a), with the substitution of a geometric average of stock and strike prices in place of an arithmetic average. Ceteris paribus the same numerical values are obtained.
Thomas W. Miller +2 more
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Hallerbach (2004) derives an approximation formula to compute a Black-Scholes implied volatility. This formula is equivalent to equation (7) in Corrado and Miller (1996a), with the substitution of a geometric average of stock and strike prices in place of an arithmetic average. Ceteris paribus the same numerical values are obtained.
Thomas W. Miller +2 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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From Spot Volatilities to Implied Volatilities
SSRN Electronic Journal, 2010The link between spot volatilities and implied volatilities has been actively investigated in the last two decades. Since the pioneering work of Dupire (1994), one knows how to infer the local volatility function from the implied volatility surface. Inverting this formula, i.e., computing implied volatilities from local volatilities, is not an easy ...
Julien Guyon +3 more
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Computing the implied volatility in stochastic volatility models
Communications on Pure and Applied Mathematics, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Igor Florent +2 more
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SSRN Electronic Journal, 2015
In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the market price of a CoCo bond in a Black-Scholes setting.
Wim Schoutens +3 more
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In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the market price of a CoCo bond in a Black-Scholes setting.
Wim Schoutens +3 more
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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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