check the properties of option pricing models with different assumptions concerning the volatility process (historical … pricing and to check the robustness of our results. The Black model with implied volatility (BIV) comes as the best model and … the realized volatility model as the worst one. Moreover, we do not see any advantage of much complex and time …

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

In this paper, we compared several Black option pricing models by applying different measures of volatility and … examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) volatility. The …

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe … that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility … delta hedged option positions. More specifically, they rely on interrelation between realized volatility levels calculated …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially … where the concept of volatility estimators (consistent, unbiased and the most efficient) is of crucial concern. Our … intention was to find the best estimator of true volatility taking into account the latest investigations in finance literature …

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the … level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures …. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …

-factor model, with multiple estimation strategies and pricing confidence intervals for the resulting synthetic volatility surface … quoted volatility surfaces. Results indicate that both short and long tenor OTC-FXOs can be accurately priced with minimal …

16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …