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Implied volatility based approach to asset pricing
Main topics of the document: asset pricing; volatility; VAPM; implied volatility...
AE - Řízení, správa a administrativa
- 2014 •
- D
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D - Stať ve sborníku
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
and inefficiencies in using implied volatility as a forecast of future volatility. In this paper, we revisit the implied-realized volatility relationship with wavelet band least financial crisis, we concl...
AH - Ekonomie
- 2016 •
- Jx •
- Link
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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Nonparametric Regression Via Higher Degree F-Transform for Implied Volatility Surface Estimation
Nonparametric Regression Via Higher Degree F-Transform for Implied Volatility Surface Estimation Nonparametric Regression Via Higher Degree F-Transform for Implied Volatility Surface Estimation Nonparametric Regres...
BB - Aplikovaná statistika, operační výzkum
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Measuring of implied volatility
(historical volatility) or implicitly from the option prices (implied volatility and time to maturity and the implied volatility is different for in-the-money" or "volatility skew". The name of t...
AH - Ekonomie
- 2004 •
- D
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D - Stať ve sborníku
Implied volatility smoothing at COVID-19 times
of the shape of the implied volatility smile of the options written on several equity indexes and on several stocks. The implied volatility function is estimated using is applied to an extensive set of data to stu...
Statistics and probability
- 2023 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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Implied Volatility Surface Estimation via Quantile Regularization
The implied volatility function and the implied volatility surface are both key-free validity; last but not least, the interpolated implied volatility concept overcomes the problem of consecutive ...
Statistics and probability
- 2020 •
- D •
- Link
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D - Stať ve sborníku
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The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth
Options are often priced by Black and Scholes model by using artificial (and unobserved) volatility implied by option market prices. Since and moneyness, it is often needed to interpolate the volatility...
Statistics and probability
- 2015 •
- D
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D - Stať ve sborníku
The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth
Options are often priced by Black and Scholes model by using artificial (and unobserved) volatility implied by option market prices. Since many options do not have their traded counterparts with the same maturity and moneyness, it i...
AH - Ekonomie
- 2015 •
- D
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D - Stať ve sborníku
Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility
is almost nonexistent. Given its forward-looking nature, implied volatility might. Conversely, the volatility risk premium embedded in implied volatility leads in the Basel III Accord, with information on...
Finance
- 2024 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?
We model future EUR/USD exchange rate realized volatility (RV) within a class of heterogeneous autoregressive (HAR) models augmented by implied volatilities (IVs of the models with implied volatility up to...
Finance
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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