based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

the behavior of the implied volatility surface prior to the event. On each known announcement date, we introduce a random … option price, its implied volatility and various Greeks. We further incorporate random-time jumps in the stock price by … derive analytic bounds and asymptotics for the pre-EA implied volatility under various models. The calibration results …