This paper develops a test that helps assess whether the term structure of option implied volatility is constant across … "volatility smile" and an additive quadratic time effect is a statistically adequate depiction of the implied volatility data for … most years. The constancy of implied volatility term structure, in turn, implies that option traders shall feel confident …

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces … stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not … implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that … option traders have private information on the volatility of stock returns and superior information processing ability that …

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of … and that the BTCUSD and CRIX implied volatility indices are similar when compared, this is consistent with expectations … because BTCUSD is highly weighted when calculating the CRIX. Furthermore, the term structure of volatility indices indicate …

Movements in the India VIX are an important gauge of how the market’s risk perception shifts from day to day. This … research attempts to forecast movements one day ahead of the India VIX using logistic regression and 11 ensemble learning …-to-day movements of the India VIX because of their inherently optimised structure. This finding is very useful for anticipating risk in …

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …