volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in … sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results …

dramatic volatility and project values can become negative, this paper presents a generalized framework for solving a …

options prices under Heston's (1993) stochastic volatility (SV) model. This distribution is seen as especially useful in … bonds). The current option chain of each of the three market-index ETFs shows of a pronounced skew of their volatility … distortion to the volatility `smile', the three pricing models (i.e. Heston's, Black-Scholes and Generalized Gamma) appear to …

We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form …

We present a one-factor local volatility model in discrete time to price and calibrate year-on-year and zero …

of the response depends on the type of news. Third, the implied volatility tends to increase, and the RND tends to become …

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility …

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …