Results 281 to 290 of about 74,000 (316)

Dynamic volatility management: from conditional volatility to realized volatility

Journal of Investment Strategies, 2019
The volatility of concern in conventional volatility-managed strategies such as volatility-targeting strategy and mean-variance optimization is the expected conditional volatility. However for investors, it is the realized volatility that is important, because there is only one realization in the market.
Rongju Zhang, Nicolas Langrene, Yu Tian, Zili Zhu   +3 more
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STOCHASTIC VOLATILITY

International Journal of Theoretical and Applied Finance, 2002
Hull and White [1] have priced a European call option for the case in which the volatility of the underlying asset is a lognormally distributed random variable. They have obtained their formula under the assumption of uncorrelated innovations in security price and volatility.
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Stochastic Volatility III: Volatility Models and Volatility Surfaces

SSRN Electronic Journal, 2010
We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

SSRN Electronic Journal, 2018
Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
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Implied Volatility Forecasting Realized Volatility

2021
This 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, 2004
In 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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Stochastic Volatility Models

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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Stock Splits, Volatility Increases, and Implied Volatilities

The Journal of Finance, 1989
ABSTRACTA 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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Presence of microplastics alone and co-existence with hydrochar unexpectedly mitigate ammonia volatilization from rice paddy soil and affect structure of soil microbiome

Journal of Hazardous Materials, 2022
Lanfang Han, Mingming Sun, Lihong Xue
exaly  

Arsenic removal from copper slag matrix by high temperature sulfide-reduction-volatilization

Journal of Hazardous Materials, 2021
Yan-Jie Liang
exaly