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implied volatility function

Determinants of the implied volatility function on the Italian Stock Market

Determinants of the implied volatility function on the Italian Stock Market

... the implied volatility function computed from options on the Italian stock market index between 1995 and 1998 and tries to find out potential explanatory ...historical volatility is ...the ...

39

Why do we smile? On the determinants of the implied volatility function

Why do we smile? On the determinants of the implied volatility function

... the implied volatility function and economic variables such as transaction costs or market momentum and other relevant variables such as the volatility of the underlying asset are, to a ...

29

THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS

THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS

... future volatility is predicted more reliably by the option-implied volatility than by the stock’s past realized ...the implied volatility of the three best-known and most liquid ETFs: ...

10

The implied volatility smirk

The implied volatility smirk

... local volatility model of Derman and Kani (1994), Dupire (1994) and Rubinstein (1994) in the financial ...the implied volatility surface of FTSE 100 index options with parameter ...(local) ...

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Implied volatility asymptotics under affine stochastic volatility models

Implied volatility asymptotics under affine stochastic volatility models

... stochastic volatility models ([30] and [68]) form a wide class of tractable and realistic models for equity and foreign exchange markets, and we shall concentrate on ...

131

Forecast performance of implied volatility and the impact of the volatility risk premium

Forecast performance of implied volatility and the impact of the volatility risk premium

... the volatility risk premium and then incorporate this risk premium to generate a risk-adjusted forecast of volatility from IV; the broad details of their approach are now ...of volatility, RV, and a ...

25

A Jargon-Busting Guide to Volatility Surfaces and Changes in Implied Volatility

A Jargon-Busting Guide to Volatility Surfaces and Changes in Implied Volatility

... Super-sticky-strike moves are where we see both movements along the curve as well as a shift in the surface in the same direction. In other words, when the underlying is sold off, the implied volatility ...

13

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

... measuring implied volatility using the S&P500 futures and options index is by Ederington and Guan (2002), where they adopt an averaging approach on forecast combinations taking into account averages ...

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CURRICULUM VITAE. Model-free implied volatility (estimating model-free implied volatility in the options market, etc.);

CURRICULUM VITAE. Model-free implied volatility (estimating model-free implied volatility in the options market, etc.);

... 2007 – Conference on Financial Econometrics, Montreal, CA. 2007 – American Economics Association Meetings, Chicago 2006 – Bank of Canada Fixed Income Conference, Ottawa, CA. 2006 – Conference on Realized ...

8

The exact Taylor formula of the implied volatility

The exact Taylor formula of the implied volatility

... Since f is arbitrary, ( 2.26 ) means that ¯p(t, z; ·, ·) satisfies ( 2.11 ) on (t, T 0 ) × D in the sense of distributions. If the coefficients of the generator are smooth functions, then from Hörmander’s theorem (see ...

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A Market Model for Stochastic Implied Volatility

A Market Model for Stochastic Implied Volatility

... of implied volatilities) the model is capable of reproducing much richer dynamics than one-factor ...stochastic implied tree model by Derman and Kani [6] is the one that is closest in scope and philosophy ...

23

Forecasting Volatility - An Empirical Investigation of Implied Volatility and Its Information Content

Forecasting Volatility - An Empirical Investigation of Implied Volatility and Its Information Content

... that implied volatility in most cases outperforms other forecasting ...since implied volatility potentially contains information about the market participants’ expectations about the future ...

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DSFM fitting of Implied Volatility Surfaces

DSFM fitting of Implied Volatility Surfaces

... This problem may be solved by increasing the bandwidths but it may lead also to a larger bias. One may also use a ker- nel function with infinite support like the Gaussian kernel but instead of analytical zeros ...

9

The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations *

The KOSPI200 Implied Volatility Index: Evidence of Regime Switches in Volatility Expectations *

... high volatility ex- pectations for the Korean market is prevalent mainly over the 1997~1998 ...of volatility expectations during periods of financial turmoil and providing evidence on rational ...of ...

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The information content of Canadian implied volatility indexes

The information content of Canadian implied volatility indexes

... The results reported in section 6.1.2 suggest that VIXC has more information about future volatility than MVX. However, those results are built on an in-sample test. It is useful t[r] ...

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Construction and Interpretation of Model-Free Implied Volatility

Construction and Interpretation of Model-Free Implied Volatility

... model-free implied volatility, MFIV, corresponds to the limiting case of p = ...corridor implied volatilities, we first estimate the RND via the Positive Convolution Approximation (PCA) method ...

35

Analogy Making and the Structure of Implied Volatility Skew

Analogy Making and the Structure of Implied Volatility Skew

... Deterministic volatility models 2) Stochastic volatility models without jumps and stochastic volatility models with ...the implied binomial tree models of Dupire (1994), Derman and Kani ...

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Indian Implied Volatility Index: A Macroeconomic Study

Indian Implied Volatility Index: A Macroeconomic Study

... The empirical analysis employed three macroeconomic variables, oil, gold and federal interest rate to understand the linkage between macroeconomic variables and the Indian implied volatility index. The time ...

8

Predicting the equity premium with the implied volatility spread

Predicting the equity premium with the implied volatility spread

... returns, implied volatility spread (IVS), and 14 predictors from Goyal and Welch (2008), where AR(1) is the 1 st order autocorrelation, ...option implied volatility spread across individual ...

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The information content of implied volatility indexes for forecasting volatility and market risk

The information content of implied volatility indexes for forecasting volatility and market risk

... each volatility forecast, we consider three forward-looking horizons which are successively 5, 10 and 22 ...three volatility forecasts vs the ex-post observed realized ...realized volatility against ...

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