) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

option implied volatility models. A significant part of the literature related to this topic shows that volatility forecast … accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of … volatility forecast models for the case of corn and wheat futures price returns. The models applied here are a univariate GARCH …

stock prices. Further analysis suggests that high costs of trading options — implied volatility premiums and transaction …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

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 …

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …