In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate market sentiment and expectations. We construct several measures of implied uncertainty in European government bond futures. In the first part, we create new volatility indices,...

Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be...

We introduce a methodology to extract the downside and upside implied volatilities from European options. Our proposed methodology is based on partitioning the total implied volatility into downside and upside portions. We extract the downside and upside volatilities for S&P 500 for the years...

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that...

This essay explores the link between the exponential probability density function and the present value function coupled with moment theory to derive important non probabilistic parameters from the Present value function in which are then used to derive a measure of the volatility of interest...

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; itillustrates the potential value of...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...