Results 81 to 90 of about 112,069 (297)
Implied Volatility Structure in Turbulent and Long-Memory Markets
Frontiers in Applied Mathematics and Statistics, 2020 We consider fractional stochastic volatility models that extend the classic Black–Scholes model for asset prices. The models are general and motivated by recent empirical results regarding the behavior of realized volatility. While such models retain the
Josselin Garnier, Knut Sølna
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Advanced Functional Materials, EarlyView.This study explores an eco‐friendly solvent with 1,3‐dimethyl‐2‐imidazolidinone for developing perovskite ink, enhancing grain size and formation of purer phase perovskite. The inkjet‐printed perovskite solar cells demonstrated a remarkable improvement in device power conversion efficiency from 14.6% to almost 17.8%, highlighting sustainable innovation
Vinayak Vitthal Satale +6 more
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Nanodiamond‐Infused Microgels for pH‐Tunable Rheology, Lubrication, and UV Protection
Advanced Functional Materials, EarlyView.Microgels consisting of swollen polyacrylic acid polymer networks, impregnated with nanodiamonds provide protection from ultraviolet (UV) radiation harmful to human health. Nanodiamonds enable UV blockage and control of the rheology (flow) and lubrication (skin‐feel) of these microgel‐skincare‐mimics.
Pallav K. Jani +10 more
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E-Jurnal Matematika, 2016 Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the
IDA AYU EGA RAHAYUNI +2 more
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A New Memory Effect in Bulk Crystals of 1T‐TaS2
Advanced Functional Materials, EarlyView.A new memory effect is discovered in 1T‐TaS₂, appearing as a temperature shift in the metal to insulator transition, coinciding with the recently reported ramp reversal memory. These findings imply that ramp reversal memory is an emergent phenomenon, likely to appear in many different systems that share a few basic properties, which are discussed in ...
Avital Fried +4 more
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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps [PDF]
We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.
Bent Jesper Christensen +2 more
core
Real Options Volatility Surface for Valuing Renewable Energy Projects
EnergiesReal options analysis is an adequate tool with which to value companies and projects under investment uncertainty. Nevertheless, the estimation of the volatility to be employed in the valuation procedure is a challenging task.
Rosa-Isabel González-Muñoz +3 more
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Advanced Functional Materials, EarlyView.Gallium sulfide (GaS) forms self‐assembled heterostructures with its native oxide, exhibiting high performance in water splitting and ultrasensitive and selective ammonia detection. Surface defects and controlled oxidation enhance catalytic activity and sensing response.
Danil W. Boukhvalov +13 more
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Does implied volatility reflect a wider information set than econometric forecasts? [PDF]
Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility.
Adam Clements +2 more
core
Predictability and predictors of volatility smirk: a study on index options
Business: Theory and Practice, 2017 The purpose of this study is to examine the presence of volatility smirk anomaly in index options and its predictability for future returns. The study tests the temporal properties of volatility smirk and further explores the factors determining the ...
Rajesh Pathak, Amarnath Mitra
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