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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 +2 more
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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
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On the Harmonic Mean Representation of the Implied Volatility [PDF]
SIAM Journal on Financial Mathematics, 2021 20 pages, 4 ...
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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
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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
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Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
Stats, 2023 In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit ...
Julien Chevallier, Bilel Sanhaji
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Implied Volatility String Dynamics [PDF]
, 2003 Not ...
Fengler, Matthias R. +2 more
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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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Implied Volatility Functions: Empirical Tests [PDF]
IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering (CIFEr), 1996 Abstract Expected future volatility plays a central role in finance theory. Consequently, accurately estimating this parameter is crucial to meaningful financial decision making. Finance researchers generally rely on the past behavior of asset prices to develop expectations about volatility, documenting movements in volatility as they
Bernard Dumas +2 more
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Energies, 2020 This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads).
Bartosz Łamasz, Natalia Iwaszczuk
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