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
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
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Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility [PDF]
This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly ...
Andrew Reidy +2 more
core
On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]
, 2023 Elisa Alòs +2 more
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Normalization for Implied Volatility [PDF]
, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
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The Small and Large Time Implied Volatilities in the Minimal Market Model [PDF]
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in ...
Eckhard Platen, Zhi Guo
core
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
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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
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options [PDF]
Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Egelkraut, Thorsten M., Garcia, Philip
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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
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