Results 51 to 60 of about 3,057 (166)
The exact Taylor formula of the implied volatility [PDF]
Finance and Stochastics, 2016 In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility σ and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these derivatives for (T,k) approaching the origin within the parabolic region |x-k|^2 < λ T, with x denoting the spot log ...
Pagliarani, Stefano, PASCUCCI, ANDREA
openaire +6 more sources
E-Jurnal Matematika, 2016 Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the
IDA AYU EGA RAHAYUNI +2 more
doaj +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 +2 more sources
Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2007 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
openaire +2 more sources
Real Options Volatility Surface for Valuing Renewable Energy Projects
EnergiesReal options analysis is an adequate tool with which to value companies and projects under investment uncertainty. Nevertheless, the estimation of the volatility to be employed in the valuation procedure is a challenging task.
Rosa-Isabel González-Muñoz +3 more
doaj +1 more source
Predictability and predictors of volatility smirk: a study on index options
Business: Theory and Practice, 2017 The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the ...
Rajesh Pathak, Amarnath Mitra
doaj +1 more source
RisksWe study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black–Scholes (BS) assets.
Dan Pirjol
doaj +1 more source
COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover. [PDF]
Financ Res Lett, 2022 Di M, Xu K.
europepmc +1 more source
Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
doaj +1 more source
Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic. [PDF]
Resour Policy, 2021 Boateng E, Adam AM, Junior PO.
europepmc +1 more source