Results 41 to 50 of about 119,543 (344)

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

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, Robert I. Webb, Heejin Yang, Jinyoung Yu   +3 more
doaj   +1 more source

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

Mycobacterial cell division arrest and smooth‐to‐rough envelope transition using CRISPRi‐mediated genetic repression systems

FEBS Open Bio, EarlyView.
CRISPRI‐mediated gene silencing and phenotypic exploration in nontuberculous mycobacteria. In this Research Protocol, we describe approaches to control, monitor, and quantitatively assess CRISPRI‐mediated gene silencing in M. smegmatis and M. abscessus model organisms.
Vanessa Point, Wafaa Achache, Janïs Laudouze, Eliana Sepulveda Ramos, Mickaël Maziero, Céline Crauste, Stéphane Canaan, Pierre Santucci   +7 more
wiley   +1 more source

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

Convergence of Heston to SVI

, 2010
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a ...
Gatheral, Jim, Jacquier, Antoine
core   +1 more source

Characterization of Nitinol Produced by Laser Powder Bed Fusion for Mechanical Metamaterial Applications

Advanced Engineering Materials, EarlyView.
Stabilization of L‐PBF Ni50.7Ti49.3 under low‐cycle loading was investigated. Recoverable strain after cycling was dependent on the amount of applied load. Recovery ratio was 53.4% and 35.1% at intermediate and high load, respectively. The maximum total strain reached 10.3% at a high load of 1200 MPa.
Ondřej Červinek, Jakub Hurník, Miroslav Šmíd, Ondřej Zobač, Melanie Todt, Daniel Koutný   +5 more
wiley   +1 more source

Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield

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, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee   +3 more
doaj   +1 more source

Thermodynamic Pathways of Nonequilibrium Solidification in Wire‐Arc Additive Manufacturing Fe‐Based Multicomponent Alloy Structures

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, Anthony Gonzalez, Aleksander Aleman, Tyler Dolmetsch, Tanaji Paul, Arvind Agarwal   +5 more
wiley   +1 more source

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
doaj   +1 more source