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Determinants of in-the-money expiration of call option contracts : an empirical evidence from call options on Nifty 50 Index

Sudhakar, Aare; Srikanth, Potharla - In: Global business review 17 (2016) 6, pp. 1373-1387

Persistent link: https://www.econbiz.de/10011665175

An explicit implied volatiltiy formula

Stefanica, Dan; Radoičić, Radoš - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-32

Persistent link: https://www.econbiz.de/10011763940

Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics

Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10

Persistent link: https://www.econbiz.de/10011552564

A sharp approximation for ATM-forward option prices and implied volatilites

Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011532749

Option implied beta and option return

Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142

Persistent link: https://www.econbiz.de/10011845923

Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests

Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012

Persistent link: https://www.econbiz.de/10011814410

Third-order short-time expansions for close-to-the-money option prices under the CGMY model

Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574

Persistent link: https://www.econbiz.de/10011815299

Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function

Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308

Persistent link: https://www.econbiz.de/10011797690

Ad-Hoc Black-Scholes vis-à-vis TSRV-based Black-Scholes : evidence from Indian options market

Dixit, Alok; Singh, Shivam - In: Journal of quantitative economics 16 (2018) 1, pp. 57-88

Persistent link: https://www.econbiz.de/10012418326

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G. - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

Persistent link: https://www.econbiz.de/10012465200