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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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2008
Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time; early commentators include Mandelbrot (1963) and Officer (1973). It was also clear to the founding
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Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time; early commentators include Mandelbrot (1963) and Officer (1973). It was also clear to the founding
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Stock Splits, Volatility Increases, and Implied Volatilities
The Journal of Finance, 1989ABSTRACTA test of the efficiency of the Chicago Board Options Exchange, relative to post‐split increases in the volatility of common stocks, is presented. The Black‐Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations (ISDs) around split announcement and ex‐dates.
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Asymmetric Volatility and Volatility Spillovers
2016Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
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Volatile/Non-Volatile Memory Cell
2011The invention concerns a memory device comprising at least one memory cell comprising: a first transistor (102) coupled between a first storage node (106) and a first resistance switching element (202) programmed to have a first resistance; and a second transistor (104) coupled between a second storage node (108) and a second resistance switching ...
Guillemenet, Yoann +4 more
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Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
2015Robert L. Kosowski, Salih N. Neftci
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