[PDF] Top 20 Fast Generation of Implied Volatility Surface for Exchange-Traded Stock Options
Has 10000 "Fast Generation of Implied Volatility Surface for Exchange-Traded Stock Options" found on our website. Below are the top 20 most common "Fast Generation of Implied Volatility Surface for Exchange-Traded Stock Options".
Fast Generation of Implied Volatility Surface for Exchange-Traded Stock Options
... of exchange-traded stock options change in real ...the implied volatilities for exchange-traded options therefore should be performed with minimum ...the ... See full document
6
Implied idiosyncratic volatility and stock return predictability
... the stock options traded at the American Stock Exchange and the Chicago Board Op- tions Exchange (CBOE) for the period from January 2001 to December ...per stock and the ... See full document
17
Predictable dynamics in the S&P 500 index options implied volatility surface
... To assess the performance of the proposed IVS modeling approach, we use both statistical and economic criteria. First, we study its ability to correctly predict the level and the direction of change of one-day-ahead ... See full document
43
Sovereign rating actions and the implied volatility of stock index options
... index options traded on organised exchanges over the world was US$ 166 trillion (Bank for International Settlements, ...of exchange-traded financial derivative markets, after interest rate ... See full document
46
Implied Idiosyncratic Volatility and Stock Return Predictability
... the stock options traded at the American Stock Exchange and the Chicago Board Op- tions Exchange (CBOE) for the period from January 2001 to December ...per stock and the ... See full document
16
Sovereign rating actions and the implied volatility of stock index options
... index options traded on organised exchanges over the world was US$ 166 trillion (Bank for International Settlements, ...of exchange-traded financial derivative markets, after interest rate ... See full document
47
The performance of popular stochastic volatility option pricing models during the Subprime crisis
... daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we show that the most consistent in-sample and out-of-sample statistical performance is obtained for the internal ... See full document
18
Global Macroeconomic Announcements and Foreign Exchange Implied Volatility
... of volatility on the day of the ...high volatility can also be linked with the large trend in foreign ...of volatility on the day of the ...reduce volatility on the day of the ...high ... See full document
9
Coarse thinking, implied volatility, and the valuation of call and put options
... for options pricing if some investors are coarse thinkers? Intuitively, an in-the-money call option is similar to its underlying ...underlying stock by equating the expected ... See full document
40
Active Trading in the Stock Market Using Implied Volatility
... on volatility and actual stock ...low volatility investors and options traders are more likely to take aggressive positions by raising volatility of ...between stock returns ... See full document
48
Forecasting global stock market implied volatility indices
... the volatility forecasts that are produced by the GARCH and stochastic volatility models (Koopman et ...of volatility, the ARFIMA framework is suitable for estimating and forecasting the logarithmic ... See full document
46
Static replication of barrier options: some general results
... barrier options written on an asset with a volatility that depends deterministically on time and the asset ...stochastic volatility and demonstrates that our technique does not lead to a static hedge ... See full document
26
Option implied volatility measures and stock return predictability
... option-implied volatility measure at the end of the previous month. Call-put implied volatility spread ( CPIV ) is the difference between the average implied volatility of ... See full document
42
HISTORICAL AND IMPLIED VOLATILITY: AN INVESTIGATION INTO NSE NIFTY FUTURES AND OPTIONS
... on volatility and implied volatility over the years have shown conflicting results on the relationship with each ...NIFTY options, we find the implied volatility being different ... See full document
9
Have Exchange Traded Funds Influenced Commodity Market Volatility?
... ETFs. Volatility has been identified as the primary area where ETF investment may have a direct impact (FSA, 2011) through market dominating factors, as ETFs can sometimes possess monopoly holdings within a ...the ... See full document
13
Granger Causality of Interest Rate and Exchange Rate on Stock Volatility at Chicago Options Market
... and exchange rates with the composite stock volatility measurement of different companies under the Chicago Board Options and ...particular volatility index, interest rate, and ... See full document
22
The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?
... Stationary long-memory time series à la Granger and Joyeux (1980) have properties that are compatible with those of the volatilities under investigation; autocorrelations that decay slowly as the lags increase and ... See full document
45
Stock index futures vs. Exchange Traded funds
... • The remainder of global equity market capitalization – on a net basis – is either directly invested in the underlying securities or held in adjacent vehicles such as: mutual funds, OTC constructions (baskets or single ... See full document
13
Insider's Guide to Trading the World's Stock Markets.pdf
... You can have all the resources, tools, knowledge and experience at your disposal, but if you cannot get a grip on your emotions, most likely you won’t do very well in the stock market. Active participation on a ... See full document
93
Volatility products at Eurex Exchange. February 7, 2012
... or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or ... See full document
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