Search Results - subject:"implied volatility surface"

Improving score-driven density forecasts with an application to implied volatility surface dynamics

Zou, Xia; Lin, Yicong; Lucas, André - 2025

for the implied volatility surface of S&P500 index options data. …

Persistent link: https://www.econbiz.de/10015408437

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...

Persistent link: https://www.econbiz.de/10014235957

Essays on insurance-linked securities and foreign exchange options

Beer, Simone - 2019

This dissertation consists of three papers referring to the pricing of insurance-linked securities, while a fourth one deals with investigating the dynamics of foreign exchange implied volatility and correlation surfaces. The first paper proposes a novel risk-neutral pricing approach for...

Persistent link: https://www.econbiz.de/10012152695

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-26

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

Persistent link: https://www.econbiz.de/10011996095

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

Persistent link: https://www.econbiz.de/10011857274

Simple and good - option pricing with regime switching skew tree models

Hausmann, Wilfried - Technische Hochschule Mittelhessen - 2018

Persistent link: https://www.econbiz.de/10012155050

Dynamic Factor Models for the Volatility Surface

Wel, Michel van der; Ozturk, Sait R.; Dijk, Dick van - School of Economics and Management, University of Aarhus - 2015

The implied volatility surface is the collection of volatilities implied by option contracts for different strike … prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility … surface. Three model types are considered to examine desirable features for representing the surface and its dynamics: a …

Persistent link: https://www.econbiz.de/10011186678

Simple heuristics for pricing VIX options

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied volatility correlates strongly with the volatility skew in S&P...

Persistent link: https://www.econbiz.de/10010929618

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Bernales, Alejandro; Guidolin, Massimo - IGIER (Innocenzo Gasparini Institute for Economic … - 2012

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … incorporating information from the dynamics in the implied volatility surface of S&P 500 index options. We analyze the economic …

Persistent link: https://www.econbiz.de/10010583479

Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012

Persistent link: https://www.econbiz.de/10011814410