Results 71 to 80 of about 184,275 (367)
On the harmonic mean representation of the implied volatility [PDF]
arXiv, 2020 It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility models, Quantitative Finance, 2, 2002].
arxiv
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
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 +8 more
wiley +1 more source
The implicit models of the option valuation
Management Letters/Cuadernos de Gestión, 2004 Of the alternative approaches to the Black-Scholes options valuation model, the implied models have had the largest development in last years. In this approach there are different alternatives: implied trees, deterministic volatility function models and ...
GERARDO ARREGUI AYASTUY
doaj
On the Curvature of the Bachelier Implied Volatility
RisksOur aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models.
Elisa Alòs, David García-Lorite
doaj +1 more source
US Implied Volatility as A predictor of International Returns
Quantitative Finance and Economics, 2017 This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i) investors may find that foreign equityreturns adjusting to US implied volatility may not provide true ...
Mehmet F. Dicle
doaj +1 more source
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 +7 more
wiley +1 more source
The predictive power of dollar-real call optionsimplied volatility
Economia Aplicada, 2002 Previous empirical researches pointed out the relation between stress events in financial markets and implied volatility in option prices, indicating that large movements in asset prices would be preceded by significant increases in implied volatility ...
Daniel Augusto Motta
doaj
Dynamics of Connectedness in Clean Energy Stocks
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities ...
Fernanda Fuentes, Rodrigo Herrera
doaj +1 more source
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
, 2007 We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to
Brace, A., Fabbri, G., Goldys, B.
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