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Alternative Formulas to Compute Implied Standard Deviation
Ang, James S.; Jou, Gwoduan David; Lai, Tsong-Yue - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 159-176
value of the exercise price. Extension of the second formula's approach to third options value derives the third formula. A …
Persistent link: https://www.econbiz.de/10004964026
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Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011984997
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011958447
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THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011 / CLASIFICACIÓN DE LAS SONRISAS DE VOLATILIDAD SEGÚN TRES PUNTOS DE...
García-Machado, Juan J.; Rybczynski, Jaroslaw - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011262769
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...
Persistent link: https://www.econbiz.de/10011208297
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U …, but the option forecasts are nearly always more informative for those firms that have the more actively traded options …. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than …
Persistent link: https://www.econbiz.de/10010302536
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The imprecision of volatility indexes
Grover, Rohini; Shah, Ajay - Indira Gandhi Institute of Development Research (IGIDR) - 2014
Concerns about sampling noise arise when a VIX estimator is computed by aggregating several imprecise implied volatility estimates. We propose a bootstrap strategy to measure the imprecision of a model based VIX estimator. We find that the imprecision of VIX is economically significant. We...
Persistent link: https://www.econbiz.de/10010903915
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The forecasting accuracy of implied volatility from ECX carbon options
Viteva, Svetlana; Veld-Merkoulova, Yulia V.; Campbell, Kevin - In: Energy Economics 45 (2014) C, pp. 475-484
This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …
Persistent link: https://www.econbiz.de/10010939429
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The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolay; Jamali, Ibrahim - In: Journal of Empirical Finance 19 (2012) 4, pp. 497-510
In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis...
Persistent link: https://www.econbiz.de/10010942975
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Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market
Baik, Bok; Kang, Hyoung-Goo; Kim, Young Jun - In: Pacific-Basin Finance Journal 23 (2013) C, pp. 109-130
We examine the presence and performance of volatility arbitrage opportunities around earnings announcements using daily ELW (equity linked warrant) trade data in the Korean market. We find that volatilities drift in a predictable and monotonic fashion, which is different from findings in prior...
Persistent link: https://www.econbiz.de/10010636099