Results 31 to 40 of about 3,336 (266)
Investors’ net buying pressure and implied volatility dynamics
Borsa Istanbul Review, 2022 This study reexamines the influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen and Whaley (2004) by accounting for options traders' hedging demand for futures contracts, intraday ...
Doojin Ryu +3 more
doaj +1 more source
Patterns of 50 ETF Options Implied Volatility in China: On Implied Volatility Functions
E+M Ekonomie a Management, 2021 The aim of this study is to examine the volatility smile based on the European options on Shanghai stock exchange 50 ETF. The data gives evidence of the existence of a well-known U-shaped implied volatility smile for the SSE 50 ETF options market in China. For those near-month options, the implied volatility smirk is also observed.
Li, Pengshi, Lin, Yan, Zhong, Yuting
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Diffuse MRI Edema Predicts Relapse in Cerebral Amyloid Angiopathy–Related Inflammation
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective To identify MRI predictors of relapse and quantify relapse and mortality risk in cerebral amyloid angiopathy–related inflammation (CAA‐RI). A secondary objective was to assess the association between mycophenolate mofetil use and relapse risk. Methods We performed a retrospective cohort study of 36 patients with CAA‐RI treated at the
G. Abbas Kharal +10 more
wiley +1 more source
Arthritis Care &Research, EarlyView.Objective Systemic lupus erythematosus (SLE) significantly impacts employment capacity. This study aimed to investigate the impact of burden of disease activity, damage, and treatment on employment outcomes and transitions in patients with SLE. Methods Using data from a single center, we analyzed employment transitions, adjusted mean disease activity ...
Javier Mencia‐Ledo +4 more
wiley +1 more source
A review on implied volatility calculation
Journal of Computational and Applied Mathematics, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Giuseppe Orlando, Giovanni Taglialatela
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Advanced Engineering Materials, EarlyView.Geometry‐driven thermal behavior in wire‐arc additive manufacturing (WAAM) influences microstructural evolution during nonequilibrium solidification of a chemically complex Fe–Cr–Nb–W–Mo–C nanocomposite system. By comparing different deposits configurations, distinct entropy–cooling rate correlations, segregation, and carbide evolution are revealed ...
Blanca Palacios +5 more
wiley +1 more source
HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY
Quantitative Methods in Economics, 2013 Volatility is a subject of numerous studies. Many of them focus on predictive power of different sources of volatility. Most often, the Black Scholes implied volatility is believed to outperform historical volatility, although some research demonstrates ...
Monika Krawiec
doaj
A Gaussian semi-parametric implied volatility model
Journal of Algorithms & Computational Technology, 2017 Modeling the implied volatility has received extensive attention, as the implied volatility is an important parameter in option pricing. Usually the implied volatility can be approximated by fitting a polynomial about the strike and the maturity or by ...
Xiaoyan Wu +3 more
doaj +1 more source
Proceedings, 2020 Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach to determine the Black–Scholes implied ...
Shuaiqiang Liu +3 more
doaj +1 more source
Implied Volatility String Dynamics [PDF]
, 2003 Not ...
Fengler, Matthias R. +2 more
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