Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying … volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major … (MEM) of implied volatility and the GARCH(1,1). The results indicate that the proposed framework is capable of producing …

adding power to stochastic volatility and jump diffusion models. Anchoring versions converge to corresponding Black …-Scholes, stochastic volatility, and jump diffusion models if adjustments to underlying currency risks to get to option risks are correct …

We propose a numerical procedure, addressed as copula integration method, to calculate quanto implied volatility … distributions are directly inferred from the corresponding Black-Scholes market volatility smiles. In order to obtain well defined … marginal distributions, we propose an extrapolation method for the standard implied volatility outside the quoted region, which …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …