implied volatility
Identifying the implied volatility using the total variation regularization
... the volatility (see [13, 18, ...the implied volatility σ = σ(S) using the total variation regularization strategy and analyze the existence and uniqueness of σ = σ (S), the necessary condition which ...
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The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations *
... 1, volatility expecta- tions in the Korean market are typically higher than those in the US ...in volatility are more salient during the more volatile crisis period of early KOSPI200 option ...trading. ...
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Analogy Making, Option Prices, and Implied Volatility
... Analogy making appears to be the key to the way we think. In this article, we investigate the implications of analogy making for option pricing. We put forward a new option pricing formula that we call the analogy option ...
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Analogy Making and the Structure of Implied Volatility Skew
... This article is organized as follows. Section 1 summarizes existing evidence pointing to analogy based call option pricing. Section 2 builds intuition by providing a numerical illustration of call option pricing with ...
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The Information Content of Indian Implied Volatility Index
... in implied volatility index and market returns has been documented in the literature for the various financial ...of implied volatility index as a measure of capturing market sentiments and ...
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Forward implied volatility expansion in time-dependent local volatility models*,**,***
... of volatility and β ∈ [0, 1] the skew ...the implied volatility surface when β 6 = ...local volatility given by a(x) = ν n (1 − β+β β 2 ) + (β − β 1) p e 2x + β 2 (1 − e x ) 2 − β e − x o ...
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Implied volatility spillover in agricultural and energy markets
... market volatility (Black and Scholes ...the volatility implied by the option premium, referred to as the implied volatility (Giot ...same implied volatility when using the ...
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Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
... Regarding the predictability of IV itself, we run the CPA test for the squared forecast error. Table 4 reports the p-values for testing the null hypothesis of equal predictive ability between the row and column ...
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Implied Volatility with Time Varying Regime Probabilities
... the implied volatility of currency options on futures is higher when currency futures returns are ...at implied volatility changes after large positive and large negative index ...
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The Greek Implied Volatility Index: Construction and Properties
... of implied volatility indices has been primarily motivated by the increasing need to create derivatives on volatility (volatility derivatives, see Brenner and Galai, 1989, ...in ...
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Implied volatility spreads and expected market returns
... of implied volatility spread are used in the ...the implied volatilities of out-of-the money put options and at-the-money call ...between implied volatility spreads and aggregate stock ...
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Option data and modeling BSM implied volatility
... Each of these applications requires suitably chosen interpolation and ex- trapolation techniques or a fully specified model of the IV surface. This sug- gests the following structure of this contribution: Section 2 ...
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Forward implied volatility expansions in LSV models
... the implied volatility pattern predicted by the model does not corre- spond to the empirically observed ...local volatility function, may calibrate well the strike pro le and term structure of ...
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Implied volatility forecasting in the options market: a survey
... the implied volatility forecasted future stock market volatility in an active market that was a subject to less measurement ...the implied volatility deviate from the true market ...
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A New Factor to Explain Implied Volatility Smirk
... this implied volatility specification to price a call digital option, from this price it is easy to obtain the probability that the stock price cross a fixed barrier at the end of a ...
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Joint Modeling of Call and Put Implied Volatility
... Both daily (one-step-ahead) and five-step-ahead forecasts were calculated with the mixture-BVMEM model specifications outlined above for the 486-day out-of-sample pe- riod of 1.1.2003 - 31.12.2004. Days when public ...
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A Jargon-Busting Guide to Volatility Surfaces and Changes in Implied Volatility
... ! This suggests that the market does not regard a 10% downward move for KPN as being indicative of a significantly different volatility environment than the one we see today with the shares trading at 100% - i.e. ...
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The Implied Volatility Effect of Mortgage-Hedging Activity
... Because, the second half of 1998 is such an abnormal period, the superior performance of the MRE model needs to be carefully interpreted. One interpretation is that MBS- hedging activity caused the actual term structure ...
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Dynamics of implied volatility surfaces
... whole volatility surface some care must be taken to define properly the available instruments and strategies in order to remain in the realm of applicability ...of implied volatility ...
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Can the Evolution of Implied Volatility be Forecasted? Evidence from European and U.S. Implied Volatility Indices
... U.S. implied volatility indices is employed, point and interval forecasts are formed, trading games with VIX and VXD futures are constructed, and the predictability is examined in daily and monthly ...of ...
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