Results 61 to 70 of about 3,057 (166)

Identifying the implied volatility using the total variation regularization

Boundary Value Problems, 2018
This paper studies an inverse problem of determining the implied volatility in the financial products linked with gold price, which has important application in financial derivatives pricing.
Yun Liu, Xijuan Liu
doaj   +1 more source

Predicting Implied Volatility in the Commodity Futures Options Markets

The International Journal of Banking and Finance, 2003
Both academics and practitioners have a substantial interest in understanding interest in understanding patterns in implied volatility that are recoverable from commodity futures option.
Stephen Ferris, Weiyu Guo, Tie Su
doaj  

Re-examining the leverage effect and gold's safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach. [PDF]

SN Bus Econ, 2021
Panagiotou D.
europepmc   +1 more source

Calibration of the Volatility in Option Pricing Using the Total Variation Regularization

Journal of Applied Mathematics, 2014
In market transactions, volatility, which is a very important risk measurement in financial economics, has significantly intimate connection with the future risk of the underlying assets.
Yu-Hua Zeng, Shou-Lei Wang, Yu-Fei Yang
doaj   +1 more source

Information Transmission Across Markets: Tail Risk Spillovers and Cross-Market Volatility Forecasting

Mathematics
This paper examines tail risk spillovers and cross-market volatility forecasting between the U.S. equity market and the crude oil market. Using realized and implied volatility within a heterogeneous autoregressive (HAR) framework, we document asymmetric ...
Shaocong Peng, Yun Shi
doaj   +1 more source

Credit-implied forward volatility and volatility expectations

Finance Research Letters, 2016
AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
openaire   +2 more sources

Is it worth tracking dollar/real implied volatility?

Economia Aplicada, 2001
In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001.
Sandro Canesso de Andrade, Benjamin Miranda Tabak   +1 more
doaj  

Generative Adversarial Networks for Inpainting Implied Volatility Surfaces

Mathematics
Implied volatility surfaces describe option-implied volatilities across strikes, and maturities and play a central role in derivative pricing and risk management.
Taonga Leeroy Maoneni, Hermann Azemtsa Donfack, Celestin Wafo Soh   +2 more
doaj   +1 more source

Implied volatility and future market return [PDF]

Insurance Markets and Companies, 2010
Ping Hsiao, Ming Li
doaj  

Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models. [PDF]

Appl Math Finance, 2016
Gerhold S, Gülüm IC, Pinter A.
europepmc   +1 more source