Relevant bibliographies by topics / Implied volatilitie

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Implied volatilitie'

Author: Grafiati
Published: 9 March 2023
Last updated: 31 July 2025

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Journal articles on the topic "Implied volatilitie"

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LEE, ROGER W. "IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 04, no. 01 (2001): 45–89. http://dx.doi.org/10.1142/s0219024901000870.

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For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process. We also give applications, including risk-premium-based explanations of the biases in some naïve pricing and hedging schemes. We begin by reviewing option pricing under stochastic volatility and representing option prices and local volatilities in terms of expectations. In the case that fluctuations in price and vo
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Kang, Byung Jin, Sohyun Kang, and Sun-Joong Yoon. "Information Content of Adjusted Implied Volatility in the KOSPI 200 Index Options Market." Journal of Derivatives and Quantitative Studies 17, no. 4 (2009): 75–103. http://dx.doi.org/10.1108/jdqs-04-2009-b0003.

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This study examines the forecasting ability of the adjusted implied volatility (AIV), which is suggested by Kang, Kim and Yoon (2009), using the horserace competition with historical volatility, model-free implied volatility, and BS implied volatility in the KOSPI 200 index options market. The adjusted implied volatility is applicable when investors are not risk averse or when underlying returns do not follow a normal distribution. This implies that AIV is consistent with the presence of risk premia for other risk such as volatility risk and jump risk. Using KOSPI 200 index options, it is show
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STEFANICA, DAN, and RADOŠ RADOIČIĆ. "AN EXPLICIT IMPLIED VOLATILITY FORMULA." International Journal of Theoretical and Applied Finance 20, no. 07 (2017): 1750048. http://dx.doi.org/10.1142/s0219024917500480.

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We show that an explicit approximate implied volatility formula can be obtained from a Black–Scholes formula approximation that is 2% accurate. The relative error of the approximate implied volatility is uniformly bounded for options with any moneyness and with arbitrary large or small option maturities and volatilities, including for long dated options and options on highly volatile underlying assets. For options within a large trading range, such as options with maturity less than five years and implied volatility less than 150%, the error of the approximate implied volatility relative to th
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Matić, Ivan, Radoš Radoičić, and Dan Stefanica. "Pólya-based approximation for the ATM-forward implied volatility." International Journal of Financial Engineering 04, no. 02n03 (2017): 1750032. http://dx.doi.org/10.1142/s2424786317500323.

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We introduce a closed form approximation for the implied volatility of ATM-forward options. The relative error of this approximation is uniformly bounded for all option maturities and implied volatilities. The approximation is extremely precise, having relative error less than [Formula: see text] for all options with integrated volatility less than [Formula: see text], such as options with maturity less than three years and implied volatility less than 100%. Moreover, the approximate implied volatilities fall within the implied volatility bid–ask spread for all the liquid options, such as opti
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SHEIKH, AAMIR M. "Stock Splits, Volatility Increases, and Implied Volatilities." Journal of Finance 44, no. 5 (1989): 1361–72. http://dx.doi.org/10.1111/j.1540-6261.1989.tb02658.x.

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Dennis, Patrick, Stewart Mayhew, and Chris Stivers. "Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon." Journal of Financial and Quantitative Analysis 41, no. 2 (2006): 381–406. http://dx.doi.org/10.1017/s0022109000002118.

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AbstractWe study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By simultaneously analyzing innovations in index- and firmlevel implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attribu
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Park, Yuen Jung. "The Information Content of the Implied Volatility in OTC Individual Stock Options Market." Journal of Derivatives and Quantitative Studies 20, no. 2 (2012): 195–235. http://dx.doi.org/10.1108/jdqs-02-2012-b0003.

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This paper investigates the information content of implied volatilities inferred from individual stock options quoted over-the-counter (OTC). First, we examine whether the implied volatility has better explanatory power than historical volatility for forecasting future realized volatility of the underlying stock return. Next, we analyze the properties of volatility spreads, the difference between implied volatilities and realized volatilities. Using near-the-money options for 10 firms over the sample period from April 2005 to April 2010, we first demonstrate that the implied volatilities for m
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BRIGO, DAMIANO, and LAURENT COUSOT. "THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION." International Journal of Theoretical and Applied Finance 09, no. 03 (2006): 315–39. http://dx.doi.org/10.1142/s0219024906003597.

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In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion of implied volatility for CDS options. We examine implied volatilities coming from SSRD prices and characterize the qualitative behavior of implied volatilities as functions of the SSRD model parameters. We introduce an analytical approximation for the SSRD implied volatility that follows the same patt
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Sarisoy, Cisil. "Drivers of Option-Implied Interest Rate Volatility." FEDS Notes, no. 2024-10-24 (October 2024): None. http://dx.doi.org/10.17016/2380-7172.3572.

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Option-implied volatilities of U.S. short-term interest rates have risen sharply since late 2021, reaching their highest levels in over a decade. Although these measures declined moderately since early 2023, they remain at around the 70th percentile of their historical distribution. This note links the implied volatility of short-term interest rates to macroeconomic uncertainty and highlights two fundamental drivers of short-term interest rate volatility over the past 30 years: inflation uncertainty and growth uncertainty.
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Dash, Mihir. "Modeling of implied volatility surfaces of nifty index options." International Journal of Financial Engineering 06, no. 03 (2019): 1950028. http://dx.doi.org/10.1142/s2424786319500282.

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The implied volatility of an option contract is the value of the volatility of the underlying instrument which equates the theoretical option value from an option pricing model (typically, the Black–Scholes[Formula: see text]Merton model) to the current market price of the option. The concept of implied volatility has gained in importance over historical volatility as a forward-looking measure, reflecting expectations of volatility (Dumas et al., 1998). Several studies have shown that the volatilities implied by observed market prices exhibit a pattern very different from that assumed by the B
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Dissertations / Theses on the topic "Implied volatilitie"

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PEDIO, MANUELA. "Essays on the Time Series and Cross-Sectional Predictive Power of Network-Based Volatility Spillover Measures." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/305198.

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• Questa tesi include due saggi che sono dedicati allo studio delle serie temporali e del potere predittivo a livello di cross-section di un indice di spillover di volatilità di nuova concezione basato sulle volatilità implicite delle opzioni. Nel primo saggio, ci concentriamo sulla stima dell'indice e sulla valutazione se i (cambiamenti nell'indice) possono prevedere i rendimenti in eccesso delle serie temporali di (un insieme di) singoli titoli e dello S&P 500. Si confronta il potere predittivo in-sample e out-of-sample di questo indice con quello dell'indice di spillover di volatilità propo
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Varga, Lukáš. "Effect of Implied Volatility on FX Carry Trade." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113592.

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This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parit
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Hanzal, Martin. "Implikovaná volatilita a vyšší momenty rizikově neutrálního rozdělení jako předstihové indikátory realizované volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-358955.

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Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volatility-changing events with respect to expectations - scheduled events (such as information releases) and unscheduled events. We propose a method of testing the information content of option-implied risk-neutral moments prior to volatility-changing events. Using the method introduced by Bakshi, Kapadia & Madan (2003) we extract implied volatility, s
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Brodd, Tobias. "Modeling the Relation Between Implied and Realized Volatility." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273609.

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Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. To determine this, the relation between the volatility of the underlying asset, called realized volatility, and the market's expected volatility, called implied volatility, can be analyzed. In this thesis five models were investigated for modeling the relation between implied and realized volatility. The five models consisted of one Ornstein–Uhlenbeck model, two autoregressive models and two artificial neu
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Magnusson, Erik. "Implied Volatility Surface Construction." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-145894.

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Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. First some methods and techniques in use for such surface constructing are presented. Then the most attractive approach, chosen to contain 4 interesting models is studied. The models’ performances are tested on two price grids from the EURO STOXX 50 and Nikkei 225 indices. The found implied volatility surfaces g
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Wang, Guan Jun. "Essays on option-implied volatility." Related electronic resource:, 2007. http://proquest.umi.com/pqdweb?did=1407687881&sid=1&Fmt=2&clientId=3739&RQT=309&VName=PQD.

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Marçal, Filipe Miguel Barbosa. "Earnings announcements and implied volatility." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16739.

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Mestrado em Finanças<br>Eu analisei a reação da volatilidade implícita em opções do tipo europeu subjacentes a ações americanas num curto espaço de tempo antes e depois das divulgações de resultados trimestrais, de 2007 a 2016. Concluí que as empresas que apresentam resultados que não atingem as expetativas dos analistas têm uma menor redução de volatilidade implícita nas opções quando comparadas com empresas que apresentam resultados que atingem ou superam as expetativas dos analistas. Neste estudo encontrei também evidências de uma queda generalizada na volatilidade implícita nos três dias
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Roome, Patrick. "Asymptotics of forward implied volatility." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/30764.

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We study asymptotics of forward-start option prices and the forward implied volatility smile using the theory of sharp large deviations (and refinements). In Chapter 1 we give some intuition and insight into forward volatility and provide motivation for the study of forward smile asymptotics. We numerically analyse no-arbitrage bounds for the forward smile given calibration to the marginal distributions using (martingale) optimal transport theory. Furthermore, we derive several representations of forward-start option prices, analyse various measure-change symmetries and explore asymptotics of
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Fadone, Luca <1991&gt. "From model-based to model-free implied volatilities: the VIX index and the new volatility derivatives." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10115.

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The aim of the work is to study volatility. It will consider the development of new models and methodologies for the measurement, forecasting and hedging the volatility risk. In particular, it will start from model-based approaches, then considering model-free approaches and volatility indexes. The focus of the work is on the CBOE VIX index, which provides an effective measure of the S&P500 implied volatility. As a further aim, we intend to study investment strategies involving derivatives based on the VIX index. These strategies are constructed both to hedge traditional portfolios and to spe
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Ye, Hui. "A Comparison of Local Volatility and Implied Volatility." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-154745.

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Books on the topic "Implied volatilitie"

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Hafner, Reinhold. Stochastic Implied Volatility. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8.

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Kanas, Angelos. Forecasting exchange rate volatility: The significance of volatilities implied in currency options premiums. Aston Business School, 1992.

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Dumas, Bernard. Implied volatility functions: Empirical tests. National Bureau of Economic Research, 1996.

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Dumas, Bernard. Implied volatility functions: Empirical tests. Centrefor Economic Policy Research, 1996.

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Bollerslev, Tim. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Federal Reserve Board, 2004.

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Ahokas, R. T. Analysis of the term structure of implied volatilities. UMIST, 1997.

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Hafner, Reinhold. Stochastic implied volatility: A factor-based model. Springer, 2004.

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Le, Thi. Analysing Intraday Implied Volatility for Pricing Currency Options. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71242-6.

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Andersen, Torben G. Construction and interpretation of model-free implied volatility. National Bureau of Economic Research, 2007.

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Skiadopoulos, Georgios. Modelling the dynamics of implied volatility smiles and surfaces. typescript, 1999.

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Book chapters on the topic "Implied volatilitie"

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Hafner, Reinhold. "Implied Volatility." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8_3.

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Hol, Eugenie M. J. H. "Implied Volatility." In Dynamic Modeling and Econometrics in Economics and Finance. Springer US, 2003. http://dx.doi.org/10.1007/978-1-4757-5129-1_5.

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Brockhaus, Oliver. "Implied Volatility." In Equity Derivatives and Hybrids. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137349491_4.

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Wickerhauser, Mladen Victor. "Implied Volatility." In Introducing Financial Mathematics. Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003329695-7.

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Farid, Jawwad Ahmed. "Forward Implied Volatilities." In An Option Greeks Primer. Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137371676_9.

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Brockhaus, Oliver. "Implied Volatility Dynamics." In Equity Derivatives and Hybrids. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137349491_7.

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Le, Thi. "Implied Volatility Forecasting Realized Volatility." In Analysing Intraday Implied Volatility for Pricing Currency Options. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71242-6_4.

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Alòs, Elisa, and David Garcia Lorite. "The Bachelier Implied Volatility." In Malliavin Calculus in Finance, 2nd ed. Chapman and Hall/CRC, 2024. https://doi.org/10.1201/9781032636382-11.

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Hafner, Reinhold. "Properties of DAX Implied Volatilities." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8_5.

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Fengler, Matthias R., Wolfgang Härdie, and Peter Schmidt. "The Analysis of Implied Volatilities." In Applied Quantitative Finance. Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-662-05021-7_6.

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Conference papers on the topic "Implied volatilitie"

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Hoshisashi, Kentaro, Carolyn E. Phelan, and Paolo Barucca. "Whack-a-mole Learning: Physics- Informed Deep Calibration for Implied Volatility Surface." In 2024 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr). IEEE, 2024. https://doi.org/10.1109/cifer62890.2024.10772909.

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Liu, Jun. "Estimation on Implied Volatility Based on Artificial Intelligence and its Application in Engineering." In 2024 5th International Conference on Artificial Intelligence and Computer Engineering (ICAICE). IEEE, 2024. https://doi.org/10.1109/icaice63571.2024.10863900.

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Matsui, Toshiko, and William J. Knottenbelt. "Bitcoin, Gold, Oil Implied Volatility Spillover to Stock Market: Evidence from an Asymmetric Quantile Regression Model." In 2024 IEEE International Conference on Blockchain and Cryptocurrency (ICBC). IEEE, 2024. http://dx.doi.org/10.1109/icbc59979.2024.10634381.

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Cheng, Jingfei, and Guibin Lu. "Volatility Forecasting Model-Free Implied Volatility." In International Conference on Education, Management, Commerce and Society. Atlantis Press, 2015. http://dx.doi.org/10.2991/emcs-15.2015.101.

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He, Peng, and Stephen Shing-Toung Yau. "Forecasting Stock Market Volatility Using Implied Volatility." In 2007 American Control Conference. IEEE, 2007. http://dx.doi.org/10.1109/acc.2007.4282578.

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Zhuang, Ying, and Meiqing Wang. "Comparison of Several Implied Volatility Models." In 2017 16th International Symposium on Distributed Computing and Applications to Business, Engineering and Science (DCABES). IEEE, 2017. http://dx.doi.org/10.1109/dcabes.2017.18.

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Borak, S., M. Fengler, and W. Hardle. "DSFM fitting of implied volatility surfaces." In 5th International Conference on Intelligent Systems Design and Applications (ISDA'05). IEEE, 2005. http://dx.doi.org/10.1109/isda.2005.40.

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Sun, Huiping, Meiqing Wang, Boyuan Du, and Jingyue Wang. "A Weighted Strike-Related Implied Volatility Model." In 2018 17th International Symposium on Distributed Computing and Applications for Business Engineering and Science (DCABES). IEEE, 2018. http://dx.doi.org/10.1109/dcabes.2018.00062.

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Han, Henry. "Hierarchical learning for option implied volatility pricing." In Hawaii International Conference on System Sciences. Hawaii International Conference on System Sciences, 2021. http://dx.doi.org/10.24251/hicss.2021.190.

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Pranesh, K. Kiran, P. Balasubramanian, and Deepti Mohan. "The determinants of India's implied volatility index." In 2017 International Conference on Data Management, Analytics and Innovation (ICDMAI). IEEE, 2017. http://dx.doi.org/10.1109/icdmai.2017.8073532.

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Reports on the topic "Implied volatilitie"

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Dumas, Bernard, Jeff Fleming, and Robert Whaley. Implied Volatility Functions: Empirical Tests. National Bureau of Economic Research, 1996. http://dx.doi.org/10.3386/w5500.

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Andersen, Torben, and Oleg Bondarenko. Construction and Interpretation of Model-Free Implied Volatility. National Bureau of Economic Research, 2007. http://dx.doi.org/10.3386/w13449.

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Cassese, Gianluca, and Massimo Guidolin. Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter? Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.008.

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Wei, Shang-Jin, and Jeffrey Frankel. Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable? National Bureau of Economic Research, 1991. http://dx.doi.org/10.3386/w3910.

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Neely, Christopher J. Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter? Federal Reserve Bank of St. Louis, 2002. http://dx.doi.org/10.20955/wp.2002.017.

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Graham, John, and Campbell Harvey. Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations. National Bureau of Economic Research, 1994. http://dx.doi.org/10.3386/w4890.

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Goncalves, Silvia, and Massimo Guidolin. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.010.

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Cecchetti, Stephen, Pok-sang Lam, and Nelson Mark. Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns. National Bureau of Economic Research, 1992. http://dx.doi.org/10.3386/t0124.

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Neely, Christopher J. Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly? Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.018.

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Ocampo-Gaviria, José Antonio, Roberto Steiner Sampedro, Mauricio Villamizar Villegas, et al. Report of the Board of Directors to the Congress of Colombia - March 2023. Banco de la República de Colombia, 2023. http://dx.doi.org/10.32468/inf-jun-dir-con-rep-eng.03-2023.

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Banco de la República is celebrating its 100th anniversary in 2023. This is a very significant anniversary and one that provides an opportunity to highlight the contribution the Bank has made to the country’s development. Its track record as guarantor of monetary stability has established it as the one independent state institution that generates the greatest confidence among Colombians due to its transparency, management capabilities, and effective compliance with the central banking and cultural responsibilities entrusted to it by the Constitution and the Law. On a date as important as this,
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