worldwide as a benchmark method to fix the base price of options trading on exchanges. Volatility is the only unknown factor in … Black-Scholes model. In this paper, we have used implied and time series econometric volatility models as inputs to Black … forecasting volatility from actual option prices - Volatility Index (VIX) and implied standard deviation approach [Implied …

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 … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

) 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 …