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The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng - 2020
We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...
Persistent link: https://www.econbiz.de/10012847745
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A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
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The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
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Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: The journal of computational finance 23 (2020) 4, pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
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A note on the implied volatility of floating strike Asian options
Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
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Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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Pricing options and computing implied volatilities using neural networks
Liu, Shuaiqiang; Oosterlee, Cornelis Willebrordus; … - In: Risks : open access journal 7 (2019) 1/16, pp. 1-22
stochastic volatility model and Brent’s iterative root-finding method for the calculation of implied volatilities. The numerical …
Persistent link: https://www.econbiz.de/10012016033
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The Chebyshev method for the implied volatility
Glau, Kathrin; Herold, Paul; Madan, Dilip B.; Pötz, … - In: The journal of computational finance 23 (2019) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
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An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62
Persistent link: https://www.econbiz.de/10011945645
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484