investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …/equal/lower values of implied volatility for each of three points. Furthermore, we distinguish the convexity of pattern. We can note that …

100 US dollars again. This study explains the volatility of petroleum futures contracts as low and high volatility in two … January 1990 to October 2017, the transition probabilities and durations between two different volatility regimes of oil … futures prices are explained. The volatility of the oil futures contract is switching between two regimes with low volatility …

evidence from the market for leveraged volatility (VIX) products. I find that the daily rebalancing imposes a substantial …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

This paper investigates the relationship between volatility and liquidity on the German electricity futures market … based on high-frequency intraday prices. We estimate volatility by the time-weighted realized variance acknowledging that … empirical intraday prices are not equally spaced in time. Empirical evidence suggests that volatility of electricity futures …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the … volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution … between a kernel and a Brownian motion. By performing joint calibration to daily SPX-VIX implied volatility surface data …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …

the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility dynamics for a wide class of stochastic volatility (SV) models. The SD approach also derives under similar conditions … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present …