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The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10014047423
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …
Persistent link: https://www.econbiz.de/10013036196
volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks …
Persistent link: https://www.econbiz.de/10013116347
Persistent link: https://www.econbiz.de/10011814410
Persistent link: https://www.econbiz.de/10011849353
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10012465200
We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...
Persistent link: https://www.econbiz.de/10012847745
stochastic volatility model and Brent’s iterative root-finding method for the calculation of implied volatilities. The numerical …
Persistent link: https://www.econbiz.de/10012016033
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10012775913
associated with reduced implied volatility overall, and the effect is stronger for options purchased by retail investors. In … contrast, implied volatility increases for long-dated options during outages, consistent with reduced retail writing activity …. The findings highlight the importance of retail demand pressure on the implied volatility surface and suggest that retail …
Persistent link: https://www.econbiz.de/10013289580