Model-Free Implied Volatility
Forecasting Using Alternative Measures of Model Free Option Implied Volatility
... of model-free implied volatility is that only a discrete set of strikes is actually traded in the market and that very low and high strikes are usually ...of implied volatilities in ...
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Volatility Forecasting and Volatility Risk Premium
... GARCH model uses only the historical yields information. The model free implied volatility considers the latest information in the current markets from all the option contracts, ...
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A fear index to predict oil futures returns
... completely model-free. On the one hand, the implied volatility is proxied by the CBOE Crude Oil Volatility Index ...30-day volatility of crude oil prices by applying the VIX ...
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Spot and forward volatility in foreign exchange
... between volatility swaps and FVAs with particular reference to model-free implied ...spot implied volatility, typically a volatility swap is a forward contract on future ...
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Modelling the implied volatility smile using
... ZABR model is capable of generating 100,000 smiles each consisting of 256 strikes in approximately seven ...ZABR model for producing arbitrage-free option prices is the Fourier-based models found in, ...
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Analogy Making and the Structure of Implied Volatility Skew
... Black-Scholes model assumes that an option can be perfectly replicated by a portfolio consisting of continuously adjusted proportions of the underlying stock and a risk-free ...Deterministic ...
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A Linear Regression Approach for Determining Explicit Expressions for Option Prices for Equity Option Pricing Models with Dependent Volatility and Return Processes
... stock-price model where the volatility and the return processes are assumed to be ...derived. Implied volatility skewness properties are ...
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Mental Accounting: A Closed Form Alternative to the Black Scholes Model
... risk free rate with the return on the underlying stock (that is, the risk free is supplemented with the risk ...the model and summarize existing ...total volatility, a higher amount of ...
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Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
... The implied volatility (IV) of an option contract is the value of the volatility of the un- derlying asset which makes the theoretical value of the option -computed using an option pricing ...
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An Hilbert space approach for a class of arbitrage free implied volatilities models
... the implied volatility model presented in [3]: in such a seminal work the authors presented a set of conditions, written as a system of SPDEs, for the market (described below) to be arbitrage ...
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A New Factor to Explain Implied Volatility Smirk
... the implied volatility have been ...the volatility smile and smirk, it shows that depending on moneyness and maturity we can observe a determined ...
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Modelling the dynamics of implied volatility smiles and surfaces
... The advantage of Derman and Kani's algorithm is that it provides the asset price evolution, and the transition probabilities by capturing both the term and the strike structure of implie[r] ...
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Joint Modeling of Call and Put Implied Volatility
... call and put IV to differ, has been documented numerous times in earlier work. Hentschel (2003) points out that noise and errors in option prices stemming from fixed tick sizes, bid-ask spreads, and non-synchronous ...
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Analogy Making, Option Prices, and Implied Volatility
... the implied volatility skew can be classified into three broad categories: 1) Stochastic volatility and GARCH models (Heston and Nandi (2000), Duan (1995), Heston (1993), Melino and Turnbull (1990), ...
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Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts
... GARCH model outperformed the ARCH ...GARCH model to examine patterns of volatility in the US forex market and results were generally ...GARCH model authors such as Brownlees and Gallo (2010) ...
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Implied Volatility with Time Varying Regime Probabilities
... good model fit with time-varying regime probabili- ties and to generate forecasts of the IV of USD/EUR currency options that succeed both in predicting the direction of change of implied volatility ...
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On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility
... that implied volatilities are better estimates of future volatility than the traditional standard ...future volatility for foreign currency ...historical volatility as a predictor of ...
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Monte Carlo methods in derivative modelling
... In this chapter, we investigate the convergece properties of seven Itˆo-Taylor schemes including two new methods based on strong Taylor approximations to perturbed SDE. For Itˆ o-Taylor approximations we apply results in ...
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Forecasting global stock market implied volatility indices
... Obviously, there are several linear and nonlinear filtering methods such as the Hodrick-Prescott filter, ARMA model, simple nonlinear filtering and local projective. However, the SSA technique relies on the ...
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Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment
... of volatility is the mean value of the implied volatility of the 105 trading days, That is ...pricing model), weak Knight uncertainty, and a stronger degree of Knight uncertainty, ...
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