Results 31 to 40 of about 184,275 (367)
Journal of Business Economics and Management, 2014 This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples ...
Puja Padhi, Imlak Shaikh
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The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility [PDF]
arXiv, 2022 Exact relationships between the short time-to-maturity ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility are given.
arxiv
Local volatility under rough volatility [PDF]
arXiv, 2022 Several asymptotic results for the implied volatility generated by a rough volatility model have been obtained in recent years (notably in the small-maturity regime), providing a better understanding of the shapes of the volatility surface induced by rough volatility models, and supporting their calibration power to S&P500 option data. Rough volatility
arxiv
Implied Volatility Functions [PDF]
The Journal of Derivatives, 2000 This paper proposes and investigates a class of dynamic implied volatility function models (DIVF). This class of models separates the time-invariant implied volatility function from the stochastic state variables which drive changes in the individual implied volatilities. The dynamics of the state variables are modeled explicitly.
openaire +4 more sources
Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets
SAGE Open, 2016 This article investigates the impacts of changes in the U.S.-implied volatility on the changes in implied volatilities of the Euro and Thai stock markets.
Supachok Thakolsri +2 more
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Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]
ACRN Journal of Finance and Risk Perspectives, 2021 In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer +2 more
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On the Bachelier implied volatility at extreme strikes [PDF]
, 2022 What kind of implied volatility extrapolation is appropriate? Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This paper investigates what happens in the Bachelier (or Normal) implied volatility world, making sure to cover the various aspects of vanilla option arbitrages.
arxiv +1 more source
INDIFFERENCE PRICES AND IMPLIED VOLATILITIES [PDF]
Mathematical Finance, 2016 AbstractWe consider a general localâstochastic volatility model and an investor with exponential utility. For a Europeanâstyle contingent claim, whose payoff may depend on either a traded or nontraded asset, we derive an explicit approximation for both the buyer's and seller's indifference prices.
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Journal of Agricultural and Resource Economics, 2006 Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
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