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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
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The information content of option-based forecasts of volatility : evidence from the Italian stock market
Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
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Assessing the quality of volatility estimators via option pricing
Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124
Persistent link: https://www.econbiz.de/10010347332
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Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting
Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51
Persistent link: https://www.econbiz.de/10011404184
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Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
Bernales, Alejandro - 2013
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …
Persistent link: https://www.econbiz.de/10013073319
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Nowcasting networks
Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
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Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; … - In: Quantitative finance 24 (2024) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
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The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng - 2020
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