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 …

The primary objective of this paper is to examine the relationship between historical and implied volatility estimates … in order to propose the nature of a model that predicts the future volatility. For this scope, we used non …-overlapping clustering of observed futures volatility and implied volatility estimates from options on futures. Three types of implied …

explanation of the volatility smile is the interaction theory between arbitrageurs and noise traders. Deep in or out of the money … from the Chicago board options exchange, CBOE, derivative market. We show the existence of the implied volatility smile of … the S&P stock index options by comparing historical in relation to implied volatility. There is significant time variation …