Results 11 to 20 of about 590,055 (198)
Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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RICE PRICE VOLATILITY IN EAST JAVA [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2017 The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016.
Wati R.Y.E., Anindita R., Setiawan B.
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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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Distribution Characteristics of Wind Speed Relative Volatility and Its Influence on Output Power
Journal of Marine Science and Engineering, 2023 The stochastic fluctuations of wind speed and wind power curve modeling are complex tasks due to fluctuations in the difference between actual and theoretical power output, leading to a reduction in the accuracy of wind-power curve models.
Shigang Qin, Deshun Liu
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Entropy, 2021 This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect ...
Jung-Bin Su
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An analysis between implied and realised volatility in the Greek Derivatives Market [PDF]
, 2009 In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with
Chance, D. +4 more
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Volatility of Aggregate Volatility and Hedge Fund Returns [PDF]
SSRN Electronic Journal, 2014 This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index.
Agarwal, V, Arisoy, Y E, Naik, N
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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
Journal of Futures Markets, 2021 AbstractWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR
Dimos S. Kambouroudis +2 more
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Volatility of Volatility and Leverage Effect from Options
SSRN Electronic Journal, 2023 We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the conditional characteristic function of the price increment until the options' expiration and we use these estimates to ...
Chong, Carsten Hao Ye, Todorov, Viktor
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