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Beyond implied volatility

, 1998
After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their results in economic terms, their theoretical consequences and their relevance for applications.
openaire   +2 more sources

VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces. [PDF]

Appl Math Finance
Vuletić M, Cont R.
europepmc   +1 more source

Multi-model transfer function approach tuned by PSO for predicting stock market implied volatility explained by uncertainty indexes. [PDF]

Sci Rep
Tissaoui K, Boubaker S, Hkiri B, Azibi N.   +3 more
europepmc   +1 more source

WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market. [PDF]

PLoS One
Qin P, Bai M.
europepmc   +1 more source

COVID-19, Lockdowns and Herding Towards a Cryptocurrency Market-Specific Implied Volatility Index

, 2020
Rubbaniy G, Polyzos S, Rizvi SKA.
europepmc   +1 more source

Unlocking the financing potential of forest-based carbon assets: a valuation framework for pledge lending under uncertainty in China. [PDF]

Sci Rep
Zhang Y, Zhang J.
europepmc   +1 more source

Econometric assessment of seasonal volatility and predictive uncertainty in Albania's hydropower-dependent electricity market. [PDF]

Sci Rep
Arapi L, Dervishi R, Kovaçi S, Agbata BC, Awasthi AK, Singh H, Sabawi YA, Smerat A.   +7 more
europepmc   +1 more source

Informational Content of the VIX Index: Dynamic Entropy Approach. [PDF]

Entropy (Basel)
Olbryś J, Toczydłowski D.
europepmc   +1 more source

Crofton Risk and Relative Transactional Entropy. [PDF]

Entropy (Basel)
Makowski M, Piotrowski EW.
europepmc   +1 more source