Results 321 to 330 of about 1,687,826 (388)
Some of the next articles are maybe not open access.
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.
Marc Decamps, Ann De Schepper
openaire +1 more source
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.
Marc Decamps, Ann De Schepper
openaire +1 more source
Quantitative Finance, 2009
This Article does not have an abstract.
Corcuera, J.M. +3 more
openaire +2 more sources
This Article does not have an abstract.
Corcuera, J.M. +3 more
openaire +2 more sources
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.
Charles J. Corrado, Thomas W. Miller
openaire +1 more source
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.
Charles J. Corrado, Thomas W. Miller
openaire +1 more source
Whose sentiment explains implied volatility change and smile?
Finance Research Letters, 2023Doojin Ryu, D. Ryu, Heejin Yang
semanticscholar +1 more source
On the seasonality in the implied volatility of electricity options
Quantitative finance (Print), 2018Seasonality is an important topic in electricity markets, as both supply and demand are dependent on the time of the year. Clearly, the level of prices shows a seasonal behaviour, but not only this. Also, the price fluctuations are typically seasonal. In
Viviana Fanelli, M. Schmeck
semanticscholar +1 more source
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.
openaire +1 more source
Treasury Yield Implied Volatility and Real Activity
Journal of Financial Economics, 2017We show that at-the-money implied volatility of options on futures of 5-year Treasury notes (Treasury ‘yield implied volatility’) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like ...
M. Cremers +2 more
semanticscholar +1 more source
2015
For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
openaire +2 more sources
For path-dependent and forward starting options, it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is to determine how forward volatilities for these forward buckets are calculated from the spot volatilities ...
openaire +2 more sources
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
openaire +2 more sources