Results 61 to 70 of about 187,533 (367)

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, Ying Zhuang, Fei Chen, Meiqing Wang   +3 more
doaj   +1 more source

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

Journal of Agricultural and Resource Economics, 2011
This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets.
Lee Brittain, Philip Garcia, Scott H. Irwin   +2 more
doaj   +1 more source

FX Implied Volatility

, 2020
An implied volatility is the volatility implied by the market price of an option based on the Black Scholes option pricing model. A volatility surface is derived from quoted volatilities that provides a way to interpolate an implied volatility at any strike and maturity. Unlike in other markets that quote volatility versus strike directly, the FX smile
openaire   +1 more source

DSFM Fitting of Implied Volatility Surfaces [PDF]

SSRN Electronic Journal, 2005
The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level ...
Fengler, Matthias, Härdle, Wolfgang K., Borak, Szymon   +2 more
openaire   +5 more sources

Facile Synthesis of CuxS Electrocatalysts for CO2 Conversion into Formate and Study of Relations Between Cu and S with the Selectivity

Advanced Functional Materials, EarlyView.
Copper sulfide based electrocatalysts for CO2 conversion are selective for production of formate as major product. Transformations under electrochemical conditions result in significant sulfur loss, and this study examines the nature of how persistent, residual sulfur (observed as surface SO42– species and S dissolved in the electrolyte) can sustain ...
Sasho Stojkovikj, Gumaa A. El‐Nagar, Siddharth Gupta, Metodija Najdoski, Violeta Koleva, Theocharis Tzanoudakis, Frederik Firschke, Peter Bogdanoff, Matthew T. Mayer   +8 more
wiley   +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

Bioresorbable and Wireless Rechargeable Implanted Na‐ion Battery for Temporary Medical Devices

Advanced Functional Materials, EarlyView.
An all‐solid‐state bioresorbable Na‐ion battery is developed, composed entirely of bio‐eliminable materials. In vivo and ex vivo tests confirmed harmless disintegration of this implanted battery. Lifetime of the implanted battery can be precisely controlled by adjusting the dissolvable encapsulation layer's thickness.
Vedi Kuyil Azhagan Muniraj, Bincy Lathakumary Vijayan, Hussien Hammoud, Roger Delattre, Marc Ramuz, Eve Djenizian, Eleonora Vandini, Daniela Giuliani, Thierry Djenizian   +8 more
wiley   +1 more source

Using CAViaR models with implied volatility for value-at-risk estimation [PDF]

, 2013
This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
core   +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
openaire   +3 more sources

Biomimetic Design of Biocompatible Neural Probes for Deep Brain Signal Monitoring and Stimulation: Super Static Interface for Immune Response‐Enhanced Contact

Advanced Functional Materials, EarlyView.
Ultrathin, flexible neural probes are developed with an innovative, biomimetic design incorporating brain tissue‐compatible materials. The material system employs biomolecule‐based encapsulation agents to mitigate inflammatory responses, as demonstrated through comprehensive in vitro and in vivo studies.
Jeonghwa Jeong, Gyeonghwa Heo, Young Woo Kwon, Seon Yeong Chae, Min Jae Kim, Ki Jun Yu, Hwa Kyoung Shin, Suck Won Hong   +7 more
wiley   +1 more source