Results 81 to 90 of about 117,062 (250)
The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets [PDF]
This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets.
Cheny Chen, Hoa Nguyen, Ming-Hua Liu
core
An Hilbert space approach for a class of arbitrage free implied volatilities models [PDF]
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, Alan +2 more
core +1 more source
Numerics of Implied Binomial Trees [PDF]
Market option prices in last 20 years conrmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility.
Alena Mysickova, Wolfgang Härdle
core
Using implied volatility to measure uncertainty about interest rates [PDF]
Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty.
Christopher J. Neely
core
Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing [PDF]
, 2014 Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew.
Higgins, Mark
core
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 +1 more
doaj
Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums [PDF]
Implied volatility is a useful bit of information for futures and options hedgers and speculators. However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.
Bridges, William +3 more
core +1 more source
Evolution of Market Uncertainty around Earnings Announcements [PDF]
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.
Christophe Pérignon, Dušan Isakov
core
Leveraged {ETF} implied volatilities from {ETF} dynamics [PDF]
, 2014 Tim Leung +2 more
openalex +1 more source