Search Results - subject:"implied volatility surface"

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

Hausmann, Wilfried - Technische Hochschule Mittelhessen - 2018

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

Closed-form implied volatility surfaces for stochastic volatility models with jumps

Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392

Persistent link: https://www.econbiz.de/10012619431

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

Modeling of implied volatility surfaces of nifty index options

Dash, Mihir - In: International journal of financial engineering 6 (2019) 3, pp. 1-11

Persistent link: https://www.econbiz.de/10012314517

Arbitrage-free conditions for implied volatility surface by Delta

Wang, Ximei; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 48 (2019), pp. 819-834

Persistent link: https://www.econbiz.de/10012120342

The information content of forward moments

Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 106 (2019), pp. 527-541

Persistent link: https://www.econbiz.de/10012224347

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

Implied volatility surfaces during the period of global financial crisis

Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10011922944

VIX computation based on affine stochastic volatility models in discrete time

Hitaj, A.; Mercuri, L.; Rroji, E. - In: Handbook of recent advances in commodity and financial …, (pp. 141-164). 2018

Persistent link: https://www.econbiz.de/10011898628

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