Results 31 to 40 of about 116,461 (347)

Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]

Seonmul yeongu
This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows.
Changsoo Hong, Yuen Jung Park
doaj   +1 more source

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

Cap Implied Volatility

, 2020
https://ia601409.us.archive.org/4/items/ir-cap-vol-7/IrCapVol-7 ...
openaire   +3 more sources

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

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
doaj   +1 more source

Using CAViaR models with implied volatility for value-at-risk estimation [PDF]

, 2013
This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
core   +1 more source

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES [PDF]

Mathematical Finance, 2016
AbstractWe consider a general local‐stochastic volatility model and an investor with exponential utility. For a European‐style 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.
openaire   +3 more sources

The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach

Journal of Function Spaces, 2021
It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou, Shican Liu, Shuang Li, Xiangyu Ge   +3 more
doaj   +1 more source

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source

Normalization for Implied Volatility [PDF]

, 2010
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
openaire   +2 more sources

ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO

E-Jurnal Matematika, 2018
Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market.
MAKBUL MUFLIHUNALLAH, KOMANG DHARMAWAN, NI MADE ASIH   +2 more
doaj   +1 more source