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Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular …. The first step requires to extract implied volatility data from observed option prices, in the second step the actual … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …
Persistent link: https://www.econbiz.de/10010296461
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …
Persistent link: https://www.econbiz.de/10010322417
on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …
Persistent link: https://www.econbiz.de/10010263102
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …
Persistent link: https://www.econbiz.de/10010295106
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …
Persistent link: https://www.econbiz.de/10010295151
Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a...
Persistent link: https://www.econbiz.de/10010263131