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An Improved Estimator For Black-Scholes-Merton Implied Volatility

Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004

[JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness. …

Persistent link: https://www.econbiz.de/10010730867

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...

Persistent link: https://www.econbiz.de/10008549066

Summary statistics of option-implied probability density functions and their properties

Lynch, Damien; Panigirtzoglou, Nikolaos - Bank of England - 2008

The statistics that summarise probability density functions(pdfs) implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. A time-series analysis of these statistics for equity index and...

Persistent link: https://www.econbiz.de/10008493887

The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications

Li, Steven - School of Economics and Finance, Business School - 2003

numerical tests. All the new formulas are easy to use and accurate for a wide range of option moneyness and time to expiration. …

Persistent link: https://www.econbiz.de/10005181704

"The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew."

Ying, John S.; Sternberg, Joel S. - Department of Economics, Lerner College of Business and … - 2005

the stock price process and test it on empirical data for four “momentum” stocks and their heavily traded options …

Persistent link: https://www.econbiz.de/10005695961

EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS

Vasile, Emilia; Armeanu, Dan - In: Journal for Economic Forecasting 6 (2009) 1, pp. 48-62

provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. … to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in …. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term …

Persistent link: https://www.econbiz.de/10005052118

Stylized patterns of implied volatility in India : a case study of NSE Nifty options

Shaikh, Imlak; Padhi, Puja - In: Journal of Indian business research 6 (2014) 3, pp. 231-254

Persistent link: https://www.econbiz.de/10010492684

What makes volatility smile? : an empirical investigation of implied volatility functions in Indian market

Inder, Shivani; Pasricha, J. S. - In: Business analyst : a refereed journal of Shri Ram … 36 (2015) 1, pp. 127-145

Persistent link: https://www.econbiz.de/10011533053

The 2019 government shutdown increased uncertainty in major agricultural commodity markets

Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012817189

Efficient Skewness/Semivariance Portfolios

Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness … efficient trade-off between skewness and semivariance. Due to the endogeneity of the cosemivariance matrix, the biobjective … of the skewness/semivariance model was assessed by choosing three portfolios (the portfolio that maximizes a skewness per …

Persistent link: https://www.econbiz.de/10011206302