Results 61 to 70 of about 117,062 (250)

The skew pattern of implied volatility in the DAX index options market [PDF]

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare the latter option based forecasts with historical volatility in order to see if they subsume ...
Silvia Muzzioli
core  

Smile-Consistent Spread Skew

Risks
We 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

Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets

, 2023
Giovanna Nappo, Fabio Massimo Marchetti, Gianluca Vagnani   +2 more
openalex   +1 more source

Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions

AIMS Mathematics
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents.
Min-Ku Lee, Jeong-Hoon Kim
doaj   +1 more source

THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS [PDF]

Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied
Manfredo, Mark R., Sanders, Dwight R.
core   +1 more source

Roughness of the Implied Volatility

, 2022
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the underlying volatility process.
openaire   +2 more sources

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

Tracking Brazilian Exchange Rate Volatility [PDF]

This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the ...
Benjamin Miranda Tabak, Eui Jung Chang, Sandro Canesso de Andrade   +2 more
core  

Forward looking information in S&P 500 options [PDF]

Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not ...
Adam E Clements, Ralf Becker, Scott I White   +2 more
core  

Implied Volatility Surface: Construction Methodologies and Characteristics [PDF]

, 2011
Cristian Homescu
openalex   +2 more sources