function to maturity that satisfies the consistency condition, the European volatility smile is obtained. As an illustration of … the formalism, we show that when the underlying asset price changes at constant volatility (standard deviation), the … offer a parameterization of the volatility smile with a closed-form expression using pre-calculated tables. Comprehensive …

leverage effect on volatility is developed. The effect of strike price, interest rate, dividends and maturities on option …

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 …

volatility on backward-looking term rates …

Here, we introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets …

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high … characteristic function of the price increment until the options’ expiration and we use these estimates to recover spot volatility …. Our volatility of volatility estimator is then formed from the sample variance and first-order autocovariance of the spot …

. The computed implied volatility surfaces are compared with the empirical surfaces, in particular with respect to the level …, smile, smirk and term structure. All the main characteristics of the implied volatility surfaces are correctly reproduced …

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …