Results 31 to 40 of about 119,543 (344)
A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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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 +2 more sources
Forecasting Stock Market Volatility: A Combination Approach
Discrete Dynamics in Nature and Society, 2020 We find that combining two important predictors, stock market implied volatility and oil volatility, can improve the predictability of stock return volatility.
Zhifeng Dai +3 more
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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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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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Forward implied volatility expansion in time-dependent local volatility models******
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
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Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]
Seonmul yeonguThis 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
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From characteristic functions to implied volatility expansions [PDF]
, 2014 For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log ...
Jacquier, Antoine, Lorig, Matthew
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Maturity cycles in implied volatility [PDF]
Finance and Stochastics, 2004 The purpose of the paper is to study the performance of the observed implied volatility surface \(I\) that is reduced to an affine function of the log-moneyness-to-maturity ratio (LMMR) of the form \[ I = a\times \text{LMMR} + b,\qquad \text{LMMR} = \frac{\log(K/S)}{T-t}, \] where \(K\) is the strike price, \(T\) is the expiration date, and \(S\) is ...
Jean-Pierre Fouque +3 more
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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
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