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volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
all, of the variations in excess kurtosis and multi-period skewness across different markets. …
In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...
This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …
In this paper we introduce a pricing model for a European call option when the price of the underlying stock (asset) follows a random walk with Markov chain type of shifts in the drift and volatility parameters according to the regime that the stock market lies in, at a given period of time. We...
This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during US presidential election cycles. Using monthly Iowa Electronic Markets data over five elections, we document that stock market uncertainty, as measured by the VIX...
Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first … that firms with higher betas have higher implied volatilities, and steeper moneyness and term structure slopes. We provide …
The prices of derivatives contracts can be used to estimate ‘risk-neutral’ probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse,...