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Journal articles on the topic 'Implied volatilitie'

Author: Grafiati

Published: 9 March 2023

Last updated: 31 July 2025

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1

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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2

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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3

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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6

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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7

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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8

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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9

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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10

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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Qabhobho, Thobekile, Emmanuel Asafo-Adjei, Peterson Owusu Junior, and Anokye M. Adam. "Quantifying information transfer between Commodities and Implied Volatilities in the Energy Markets: A Multi-frequency Approach." International Journal of Energy Economics and Policy 12, no. 5 (2022): 472–81. http://dx.doi.org/10.32479/ijeep.13403.

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We investigate the multi-scale information transmission between two implied volatilities in the energy markets (crude oil volatility and volatility in the energy market) and energy commodities returns (global energy commodity, brent, heating oil, natural gas and petroleum). The Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) based Rényi transfer entropy approach is employed to accomplish the research objective. The study’s outcome underscores that information flow between implied volatilities and energy commodities is negative with significance being scale-dependen

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Lorig, Matthew, Stefano Pagliarani, and Andrea Pascucci. "EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS." Mathematical Finance 27, no. 3 (2015): 926–60. http://dx.doi.org/10.1111/mafi.12105.

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13

Yoon, Sun-Joong. "Structured Products Markets and Implied Volatility Distortion." Journal of Derivatives and Quantitative Studies 22, no. 3 (2014): 433–64. http://dx.doi.org/10.1108/jdqs-03-2014-b0003.

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This study verifies the existence of implied volatility distortion by the rapid growth of structured products such as Equity Linked Securities (ELS) in Korean financial markets and provides the policy implications to overcome such a distortion. The most ELS products issued in Korea have a step-down auto-callable payoff structure consisting of short position in down-and-in barrier put options and long position in digital call options. Financial companies which have issued ELS are exposed to the volatility risk, i.e. long vega position, and tend to execute the volatility transactions of short ve

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BONDARENKO, Maksym, and VICTOR BONDARENKO. "MODELING RELATION BETWEEN ATM LOCAL AND IMPLIED VOLATILITY FOR MICROSOFT STOCKS." Herald of Khmelnytskyi National University 292, no. 2 (2021): 21–29. http://dx.doi.org/10.31891/2307-5740-2021-292-2-4.

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In this work simple linear and polynomial regression to model the relation between at-the-money (ATM) implied and at-the-money local volatility of Microsoft stocks has been applied. Local volatility is extracted from the set of Vanilla option prices on Microsoft stocks by assuming that Microsoft stock price follows Dupire local volatility process. ATM Local volatility is then used in linear regression predictor while implied volatility is a resulting variable. The model is validated by predicting out-of-sample implied volatility with local volatility. The statistical significance and predictiv

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Ahn, Dohyun, Kyoung-Kuk Kim, and Younghoon Kim. "Small-Time smile for the multifactor volatility heston model." Journal of Applied Probability 57, no. 4 (2020): 1070–87. http://dx.doi.org/10.1017/jpr.2020.63.

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AbstractWe extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart multidimensional stochastic volatility model (WMSV). More explicitly, we show that the approaches taken in Forde and Jacquier (2009) and Forde, Jacqiuer and Lee (2012) are applicable to the WMSV model under mild conditions, and obtain explicit small-time expansions of implied volatilities.

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AMMANN, MANUEL, DAVID SKOVMAND, and MICHAEL VERHOFEN. "IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS." International Journal of Theoretical and Applied Finance 12, no. 06 (2009): 745–65. http://dx.doi.org/10.1142/s0219024909005440.

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Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteristics. We find that high-beta stocks, small stocks, stocks with a low-market-to-book ratio, and non-momentum stocks trade at higher implied volatilities after controlling for historical volatility. We find evidence that implied volatility overestimates realized volatility for low-beta stocks, small caps, low-market-to-book stocks, and stocks with no momentum and vice versa. However, we cannot reject the null hypothesis that implied volat

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17

Kang, Byung Jin. "Information Content of Implied Volatilities in KRW/USD Currency Option Markets." Journal of Derivatives and Quantitative Studies 19, no. 2 (2011): 207–32. http://dx.doi.org/10.1108/jdqs-02-2011-b0004.

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This paper investigate the information content of implied volatilities derived from KRW/USD OTC currency options. First, we examined the explanatory power of implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic properties of volatility spreads, the difference between implied volatilities and realized volatilities, observed in KRW/USD currency option markets. Using the sample data from January 2006 through March 2010, we first find that even though the implied volatilities have a little explanatory power in forecasting future

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18

CARDINALI, ALESSANDRO. "A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES." International Journal of Theoretical and Applied Finance 12, no. 01 (2009): 1–18. http://dx.doi.org/10.1142/s0219024909005130.

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It is widely believed that implied volatilities contains information that would enable prediction of spot volatility for a wide range of financial assets. Lead-lag analysis based on the Discrete Wavelet Transform has been proposed as one method for identifying and extracting that predictive information. Unfortunately this approach can fail to identify periodic components that are not proportional to an increasing dyadic scale. We propose a multiscale analysis of the Eurodollar realized volatility and at-the-money (ATM) implied volatilities. After filtering the long memory components we produce

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19

Park, Hye Jin, Dae Won Lee, and Jae Wook Lee. "Implied Volatility Surface Estimation Using Transductive Gaussian Fields Regression." Key Engineering Materials 467-469 (February 2011): 1781–86. http://dx.doi.org/10.4028/www.scientific.net/kem.467-469.1781.

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Implied volatility estimation is one of the fundamental tasks for asset pricing and risk management. In this paper, we investigate the applicability of semi-supervised regression techniques to estimate an implied volatility surface from the real market option data. Specifically, we employ a transductive Gaussian field regression method since it is able to predict a distribution of the implied volatilities for unlabelled data using only partially labeled data. We've conducted simulation on S&P 500 index data before and after the global financial crisis with discussions of the observed empir

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20

Rhee, Byung Kun, and Sang Won Hwang. "An Empirical Research on the Informational Efficiency of Model Free Implied Volatility." Journal of Derivatives and Quantitative Studies 16, no. 2 (2008): 67–94. http://dx.doi.org/10.1108/jdqs-02-2008-b0003.

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Black-Scholes Imolied volatility (8SIV) has a few drawbacks. One is that the model Is not much successful in fitting the option prices. and It Is n야 guaranteed the model is correct one. Second. the usual tradition in using the BSIV is that only at-the-money Options are used. It is well-known that IV's of In-the-money or Qut-of-the-money ootions are much different from those estimated from near-the-money options. In this regard, a new model is confronted with Korean market data. Brittenxmes and Neuberger (2000) derive a formula for volatility which is a function of option prices‘ Since the form

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21

Bielykh, Artem, Sergiy Pysarenko, Dong Meng Ren, and Oleksandr Kubatko. "Market expectation shifts in option-implied volatilities in the US and UK stock markets during the Brexit vote." Investment Management and Financial Innovations 18, no. 4 (2021): 366–79. http://dx.doi.org/10.21511/imfi.18(4).2021.30.

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This paper investigates the effect of the Brexit vote on the connection between UK stock market expectations and US stock market returns. To gauge UK stock market expectations, the option-implied volatilities of the FTSE 100 index are calculated in the period starting five months before and ending four months after the Brexit referendum. To keep the analysis “clean”, it stops right before the 2016 US presidential elections. It uses an OLS regression to estimate the change in the relationship between US and UK stock market expectations.The main findings show that the US and UK stock markets bec

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22

Ap Gwilym, Owain, and Mike Buckle. "Forward/forward volatilities and the term structure of implied volatility." Applied Economics Letters 4, no. 5 (1997): 325–28. http://dx.doi.org/10.1080/758532602.

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23

Renault, Eric, and Nizar Touzi. "OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL." Mathematical Finance 6, no. 3 (1996): 279–302. http://dx.doi.org/10.1111/j.1467-9965.1996.tb00117.x.

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24

Xi, Wenwen, Dermot Hayes, and Sergio Horacio Lence. "Variance risk premia for agricultural commodities." Agricultural Finance Review 79, no. 3 (2019): 286–303. http://dx.doi.org/10.1108/afr-07-2018-0056.

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Purpose The purpose of this paper is to study the variance risk premium in corn and soybean markets, where the variance risk premium is defined as the difference between the historical realized variance and the corresponding risk-neutral expected variance. Design/methodology/approach The authors compute variance risk premiums using historical derivatives data. The authors use regression analysis and time series econometrics methods, including EGARCH and the Kalman filter, to analyze variance risk premiums. Findings There are moderate commonalities in variance within the agricultural sector, bu

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Härdle, Wolfgang Karl, and Elena Silyakova. "Implied basket correlation dynamics." Statistics & Risk Modeling 33, no. 1-2 (2016): 1–20. http://dx.doi.org/10.1515/strm-2014-1176.

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AbstractEquity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy on the German market and propose several profitability improvement schemes based on implied correlation (IC) forecasts. Modelling IC conceals several challenges. Firstly the number of correlation coefficients would grow with the size of the basket. Secondly, IC is not constant over maturities and strikes. Fin

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Qin, Peng, and Manying Bai. "WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market." PLOS ONE 19, no. 4 (2024): e0302131. http://dx.doi.org/10.1371/journal.pone.0302131.

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This study investigates the impact of oil market uncertainty on the volatility of Chinese sector indexes. We utilize commonly used realized volatility of WTI and Brent oil price along with the CBOE crude oil volatility index (OVX) to embody the oil market uncertainty. Based on the sample span from Mar 16, 2011 to Dec 31, 2019, this study utilizes vector autoregression (VAR) model to derive the impacts of the three different uncertainty indicators on Chinese stock volatilities. The empirical results show, for all sectors, the impact of OVX on sectors volatilities are more economically and stati

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Liu, Shuaiqiang, Cornelis Oosterlee, and Sander Bohte. "Pricing Options and Computing Implied Volatilities using Neural Networks." Risks 7, no. 1 (2019): 16. http://dx.doi.org/10.3390/risks7010016.

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This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an optimized ANN on a data set generated by a sophisticated financial model, and runs the trained ANN as an agent of the original solver in a fast and efficient way. We test this approach on three different types of solvers, including the analytic solution for the Black-Scholes equation, the COS method for

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28

Dutta, Anupam. "Modeling and forecasting oil price risk: the role of implied volatility index." Journal of Economic Studies 44, no. 6 (2017): 1003–16. http://dx.doi.org/10.1108/jes-11-2016-0218.

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Purpose While numerous empirical studies have tried to model and forecast the oil price volatility over the years, such attempts using the crude oil volatility index (OVX) rarely exist. In order to conceal this void, the purpose of this paper is to investigate whether including OVX in the realized volatility (RV) models improve the accuracy of predictions. Design/methodology/approach At the empirical stage, the authors employ several measures to frame the RV of crude oil futures returns. In particular, the authors use three different range-based RV estimators recommended by Parkinson (1980), R

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Alsubaie, Shafi Madhkar, Khaled H. Mahmoud, Ahmed Bossman, and Emmanuel Asafo-Adjei. "Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach." Discrete Dynamics in Nature and Society 2022 (July 19, 2022): 1–22. http://dx.doi.org/10.1155/2022/3804871.

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There has been increasing interests in the sustainable way of investing as enjoined by several sustainability initiatives. However, investors require effective portfolio diversification at various market conditions (stress, benign, and boom) and would consider sustainable equities to the extent that they aid in the minimisation of portfolio risks. As a result, a better way investors can mitigate portfolio risk is by forming portfolios with relevant volatility indices as enshrined in extant literature. It becomes necessary to investigate the susceptibility of Islamic stocks in a sustainable way

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Mayhew, Stewart. "Implied Volatility." Financial Analysts Journal 51, no. 4 (1995): 8–20. http://dx.doi.org/10.2469/faj.v51.n4.1916.

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Durrleman, Valdo. "Convergence of At-The-Money Implied Volatilities to the Spot Volatility." Journal of Applied Probability 45, no. 2 (2008): 542–50. http://dx.doi.org/10.1239/jap/1214950366.

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We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.

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Durrleman, Valdo. "Convergence of At-The-Money Implied Volatilities to the Spot Volatility." Journal of Applied Probability 45, no. 02 (2008): 542–50. http://dx.doi.org/10.1017/s0021900200004411.

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We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.

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Benavides, Guillermo. "PREDICTIVE ACCURACY OF FUTURES OPTIONS IMPLIED VOLATILITY: THE CASE OF THE EXCHANGE RATE FUTURES MEXICAN PESO-US DOLLAR." PANORAMA ECONÓMICO 5, no. 9 (2017): 41. http://dx.doi.org/10.29201/pe-ipn.v5i9.83.

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There has been substantial research effort aimed to forecast futures price return volatilities of financial assets. A significant part of the literature shows that volatility forecast accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of several volatility forecast models for the case of the Mexican peso-USD exchange rate futures returns. The models applied here are a univariate GARCH, a multivariate ARCH (the BEKK model), two option implied volatility models and a composite forecast model. The composite model includes time

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Stefanica, Dan, and Radoš Radoičić. "A sharp approximation for ATM-forward option prices and implied volatilites." International Journal of Financial Engineering 03, no. 01 (2016): 1650002. http://dx.doi.org/10.1142/s242478631650002x.

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In this paper, we provide an approximation formula for at-the-money forward options based on a Pólya approximation of the cumulative density function of the standard normal distribution, and prove that the relative error of this approximation is uniformly bounded for options with arbitrarily large (or small) maturities and implied volatilities. This approximation is viable in practice: for options with implied volatility less than 95% and maturity less than three years, which includes the large majority of traded options, the values given by the approximation formula fall within the tightest t

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RAHAYUNI, IDA AYU EGA, KOMANG DHARMAWAN, and LUH PUTU IDA HARINI. "PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM." E-Jurnal Matematika 5, no. 1 (2016): 1. http://dx.doi.org/10.24843/mtk.2016.v05.i01.p113.

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Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the etimated volatility from a market mechanism that is considered as a reasonable way to assess the volatility's value. This study was aimed to compare the Newton-Raphson, Secant, and Bisection method, in estimating the stock volatility value of PT Telkom Indonesia Tbk (TLK). It found that the three methods have the same Implied Volatilities, whe

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Ortiz Ramírez, Ambrosio, Francisco Venegas Martínez, and María Teresa Verónica Martínez Palacios. "Parameter calibration of stochastic volatility Heston’s model: constrained optimization vs. differential evolution." Contaduría y Administración 67, no. 1 (2021): 309. http://dx.doi.org/10.22201/fca.24488410e.2022.2789.

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<p>This paper calibrates through loss functions the parameters of Heston’s stochastic volatility model by using two different methods: minimizing a nonlinear objective function (a loss function) with constraints on the values of the parameter and using a differential evolution algorithm. Both methods are applied to implied volatilities on the Mexican Stock Exchange Index with four maturities and twenty-eight strike prices. The selection criterion for the parameters is minimizing the value of the mean square error of the implied volatility. The first method has a better performance with l

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Quaye, Enoch, and Radu Tunaru. "The stock implied volatility and the implied dividend volatility." Journal of Economic Dynamics and Control 134 (January 2022): 104276. http://dx.doi.org/10.1016/j.jedc.2021.104276.

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Lee, Geon, Tae-Kyoung Kim, Hyun-Gyoon Kim, and Jeonggyu Huh. "Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities." Journal of Risk and Financial Management 15, no. 12 (2022): 616. http://dx.doi.org/10.3390/jrfm15120616.

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In finance, implied volatility is an important indicator that reflects the market situation immediately. Many practitioners estimate volatility by using iteration methods, such as the Newton–Raphson (NR) method. However, if numerous implied volatilities must be computed frequently, the iteration methods easily reach the processing speed limit. Therefore, we emulate the NR method as a network by using PyTorch, a well-known deep learning package, and optimize the network further by using TensorRT, a package for optimizing deep learning models. Comparing the optimized emulation method with the be

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Padhi, Puja, and Imlak Shaikh. "ON THE RELATIONSHIP OF IMPLIED, REALIZED AND HISTORICAL VOLATILITY: EVIDENCE FROM NSE EQUITY INDEX OPTIONS." Journal of Business Economics and Management 15, no. 5 (2014): 915–34. http://dx.doi.org/10.3846/16111699.2013.793605.

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This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples. The study covers the period from introduction of options on the derivative segment of NSE, June 2001 to May 2011. The results reveal that call and put implied volatility of S&P CNX Nifty index option does contain information about future realized return volatility. This study accounts for the problem of error-in-variable and controls for

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Campani, Carlos Heitor, and Assis Gustavo da Silva Durães. "Forecasting USD-BRL Currency Rate Volatility using Realized and Implied Volatilities Data." Estudos Econômicos (São Paulo) 48, no. 4 (2018): 687–719. http://dx.doi.org/10.1590/0101-41614845cca.

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Abstract This article assesses the impact of exogenous variables in GARCH models, when applied to volatility forecasts for the Brazilian USD-BRL currency market. As exogenous variables, we used the realized variance, based on high frequency data, and the FXVol index, based on market implied volatility data. This is the first study to use the FXVol index and to investigate its effects on Brazilian foreign exchange volatility. The results indicate statistical significance of the superiority of the extended models when predicting volatility. We conclude that high frequency data and market implied

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Ackert, Lucy F., Jonathan Hao, and William C. Hunter. "The effect of circuit breakers on expected volatility: Tests using implied volatilities." Atlantic Economic Journal 25, no. 2 (1997): 117–27. http://dx.doi.org/10.1007/bf02298379.

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Privault, Nicolas, and Qihao She. "Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model." Applied Mathematics Letters 53 (March 2016): 77–84. http://dx.doi.org/10.1016/j.aml.2015.09.008.

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Derman, Emanuel, and Iraj Kani. "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility." International Journal of Theoretical and Applied Finance 01, no. 01 (1998): 61–110. http://dx.doi.org/10.1142/s0219024998000059.

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In this paper we present an arbitrage pricing framework for valuing and hedging contingent equity index claims in the presence of a stochastic term and strike structure of volatility. Our approach to stochastic volatility is similar to the Heath-Jarrow-Morton (HJM) approach to stochastic interest rates. Starting from an initial set of index options prices and their associated local volatility surface, we show how to construct a family of continuous time stochastic processes which define the arbitrage-free evolution of this local volatility surface through time. The no-arbitrage conditions are

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Manfredo, Mark R., Raymond M. Leuthold, and Scott H. Irwin. "Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: The Accuracy of Time Series, Implied Volatility, and Composite Approaches." Journal of Agricultural and Applied Economics 33, no. 3 (2001): 523–38. http://dx.doi.org/10.1017/s1074070800020988.

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AbstractEconomists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternati

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Rosenberg, Joshua V. "Implied Volatility Functions." Journal of Derivatives 7, no. 3 (2000): 51–64. http://dx.doi.org/10.3905/jod.2000.319124.

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Corcuera, José Manuel, Florence Guillaume, Peter Leoni, and Wim Schoutens. "Implied Lévy volatility." Quantitative Finance 9, no. 4 (2009): 383–93. http://dx.doi.org/10.1080/14697680902965548.

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Jäckel, Peter. "Implied Normal Volatility." Wilmott 2017, no. 88 (2017): 54–57. http://dx.doi.org/10.1002/wilm.10581.

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Jäckel, Peter. "Implied Normal Volatility." Wilmott 2017, no. 90 (2017): 54–57. http://dx.doi.org/10.1002/wilm.10608.

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Kelly, Bryan, Gerardo Manzo, and Diogo Palhares. "Credit-Implied Volatility." Financial Analysts Journal 81, no. 2 (2025): 89–116. https://doi.org/10.1080/0015198x.2025.2473251.

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STROBL, KARL. "ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')." International Journal of Theoretical and Applied Finance 04, no. 03 (2001): 545–65. http://dx.doi.org/10.1142/s0219024901001036.

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We show that the frequent claim that the implied tree prices exotics consistently with an arbitrage-free market is untrue if the local volatilities are stochastic. This is a consequence of the market incompleteness under stochastic volatility. We also show that the problem cannot be mitigated by conveniently defining some 'weakly stochastic' local volatility, as this would violate the no-arbitrage condition. In the process of constructing the proof, we analyse — in the most general context — the impact of stochastic variables on the P&L of a hedged portfolio. We find that any stochastic tr

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