Results 81 to 90 of about 119,543 (344)
INDIFFERENCE PRICES AND IMPLIED VOLATILITIES [PDF]
Mathematical Finance, 2016 AbstractWe consider a general local‐stochastic volatility model and an investor with exponential utility. For a European‐style contingent claim, whose payoff may depend on either a traded or nontraded asset, we derive an explicit approximation for both the buyer's and seller's indifference prices.
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Advanced Functional Materials, EarlyView.The role of novel thiophene‐based ligands with halogen substitutions in enhancing the chiroptical and optoelectronic properties of 2D chiral HOIPs has been investigated. By tailoring ligand design, enhanced CD and CPL properties are achieved, with improved CPL discrimination in photodetectors.
Boesung Kwon +4 more
wiley +1 more source
Forecasting Exchange Rate Volatility in the Presence of Jumps [PDF]
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump ...
Bent Jesper Christensen +2 more
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Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2007 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
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Advanced Functional Materials, EarlyView.A fluorine‐rich acrylate monomer (PFHEA) was solvent‐free applied to NCM90 and thermally decomposed under Ar to convert residual lithium into LiF and form a pre‐built LiF/fluorinated amorphous carbon (LiF/FC) interphase. The LiF/FC layer suppresses NiO rock‐salt reconstruction and microcrack propagation, lowers interfacial resistance, and improves Li ...
Pangyu Kim +6 more
wiley +1 more source
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
doaj +1 more source
The skew pattern of implied volatility in the DAX index options market [PDF]
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare the latter option based forecasts with historical volatility in order to see if they subsume ...
Silvia Muzzioli
core
Advanced Functional Materials, EarlyView.Significant nanoscale oxygen diffusion coefficient variations are measured in ferroelectric hafnium zirconium oxide films with grain boundaries and electrode interfaces exhibiting values 104 times larger than the grain cores. Overall coefficients are 10X larger for films prepared with metal nitride electrodes compared to refractory metals. New insights
Liron Shvilberg +6 more
wiley +1 more source
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
doaj +1 more source
The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices [PDF]
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for ...
Bent Jesper Christensen +1 more
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