Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Empirical Analysis Of Implied Volatility
Download Empirical Analysis Of Implied Volatility full books in PDF, epub, and Kindle. Read online Empirical Analysis Of Implied Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Empirical Analysis on the Relationship Between Implied Volatility and Realized Volatility in Hong Kong and Japan by : Chi-keung Evans Lui
Download or read book Empirical Analysis on the Relationship Between Implied Volatility and Realized Volatility in Hong Kong and Japan written by Chi-keung Evans Lui and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Analysis of Implied Volatility by : William K. H. Fung
Download or read book Empirical Analysis of Implied Volatility written by William K. H. Fung and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Deformation of Implied Volatility Surfaces by : Rama Cont
Download or read book Deformation of Implied Volatility Surfaces written by Rama Cont and published by . This book was released on 2001 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options by : Andreas Rathgeber
Download or read book Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options written by Andreas Rathgeber and published by . This book was released on 2018 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade-by-trade DAX equity options from the EUREX a mean-reversion autocorrelation process is revealed, besides confirming low frequency results such as moneyness, time, liquidity, volume and underlying moment dependencies. Furthermore, we show, that the mean-reversion process is present, even if we control for fluctuating trades between bid and ask prices. It is induced by algorithmic market making and market microstructure effects. We address the HF research gap in market microstructure literature expressed by O'Hara (2015), who argues that markets and trading is radically different today, which consequently altered the basic constructs of market microstructure, and we give additional explanation for the flickering quote hypothesis of Hasbrouck and Saar (2009).
Book Synopsis On the Dynamics and Information Content of Implied Volatility by : Bent Jesper Christensen
Download or read book On the Dynamics and Information Content of Implied Volatility written by Bent Jesper Christensen and published by . This book was released on 2008 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new research design is introduced for the empirical analysis of the relationship between implied volatility and ex-post realized volatility. The dynamics of volatility are emphasized, and the analysis is cast in terms of non-overlapping data, so that exactly one implied and one realized volatility estimate pertain to each period under consideration. The conclusions from the empirical analysis when using our design are significantly different from those previously reached. Recent literature indicates that implied volatility contains little information about future volatility, beyond that contained in the history of realized volatility. We show that on the contrary, implied volatility efficiently predicts future realized volatility and in particular subsumes the information content of past realized volatility.
Book Synopsis Option Strategies for Earnings Announcements by : Ping Zhou
Download or read book Option Strategies for Earnings Announcements written by Ping Zhou and published by FT Press. This book was released on 2012-10-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
Book Synopsis An Empirical Analysis of the Common Factors Governing Us Dollar-Libor Implied Volatility Movements by : Pavan Wadhwa
Download or read book An Empirical Analysis of the Common Factors Governing Us Dollar-Libor Implied Volatility Movements written by Pavan Wadhwa and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Common factors governing movements in the US $ yield curve have been examined extensively both in the academic and practitioner literature. The issue of which factors drive volatility in the US $ LIBOR market has not been addressed adequately in the literature, presumably because of lack of easy access to high-quality volatility data in these markets. This paper seeks to fill this void by attempting to identify various factors that drive basis-point volatility in the US $-LIBOR caplet and swaption markets. We provide intuitive interpretation for four of the most important volatility factors that explain between 75% and 98% of the in-sample variance, and between 52% and 89% of the out-of-sample variance observed in the volatility matrix.
Book Synopsis Semiparametric Modeling of Implied Volatility by : Matthias R. Fengler
Download or read book Semiparametric Modeling of Implied Volatility written by Matthias R. Fengler and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Book Synopsis Empirical Studies on Volatility in International Stock Markets by : Eugenie M.J.H. Hol
Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Book Synopsis Dynamics of the Implied Volatility Surface by : Jacinto Marabel Romo
Download or read book Dynamics of the Implied Volatility Surface written by Jacinto Marabel Romo and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: I perform a regression analysis to test two of the most famous heuristic rules existing in the literature about the behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the extended specification for the sticky strike rule presented in this article represents better the behavior of the implied volatility under this rule. Furthermore, there is not one rule which is the most appropriate at all times to explain the evolution of implied volatility surface. Depending on the market situation a rule may be more appropriate than another one. In particular, when the underlying asset displays trend, the sticky delta rule tends to prevail against the sticky strike rule. Conversely, when the underlying asset moves in range, then the sticky strike rule tends to predominate.
Book Synopsis Construction and Interpretation of Model-free Implied Volatility by : Torben G. Andersen
Download or read book Construction and Interpretation of Model-free Implied Volatility written by Torben G. Andersen and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the VIX index is computed through a tail-truncation which renders it more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and hence estimate the corresponding volatility measures, under the standard Black-Scholes model. Finally, we undertake the first empirical exploration of the CIV measures in the literature. Our results indicate that the measure can help us refine and systematize the information embedded in the derivatives markets. As such, the CIV measure may serve as a tool to facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the world for diverse asset categories and time horizons.
Book Synopsis Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution by : Christian Schlag
Download or read book Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution written by Christian Schlag and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index by : Ming-Lei Liu
Download or read book How Does Oil Market Uncertainty Interact with Other Markets? An Empirical Analysis of Implied Volatility Index written by Ming-Lei Liu and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: OVX (Crude oil volatility index), as a measure of oil market uncertainty and new volatility derivatives published by CBOE (Chicago Board Options Exchange) during the 2008 global financial crisis, provides a direct prediction of the market's expectation for future 30-day crude oil price volatility. This paper investigates the short- and long-term cross-market uncertainty transmission implied by OVX and other important volatility indices which are VIX (stock market volatility index), EVZ (euro/dollar exchange rate volatility index) and GVZ (gold price volatility index). The results indicate that there are no strong long-run equilibrium relationships among these volatility indices, which indirectly verify the effectiveness of crossmarket volatility portfolio strategy for risk hedge. Furthermore, OVX is significantly influenced by other ones, which indicates that investors' volatility expectation in the oil market become more sensitive to uncertainty shocks from other markets when the global economic situation is extremely unstable. Finally, impacts of interior and exterior uncertainty shocks on OVX are found to be positive and transient. And the significant short-term uncertainty transmission between oil and other major markets has been confirmed.
Book Synopsis Common Functional Implied Volatility Analysis by : Michal Benko
Download or read book Common Functional Implied Volatility Analysis written by Michal Benko and published by . This book was released on 2017 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that the volatilities implied by observed market prices exhibit patterns known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the other hand, the IV is a function of two parameters: the strike price and the time to maturity and it is desirable in practice to reduce the dimension of this object and characterize the IV surface through a small number of factors. Clearly, a dimension reduced pricing-model that should reflect the dynamics of the IV surface needs to contain factors and factor loadings that characterize the IV surface itself and their movements across time.
Book Synopsis Implied Volatility Functions by : Bernard Dumas
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Book Synopsis Intraday Implied Volatility by : Anselm Ivanovas
Download or read book Intraday Implied Volatility written by Anselm Ivanovas and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Bias in Black-Scholes/Black Implied Volatility by : James Doran
Download or read book The Bias in Black-Scholes/Black Implied Volatility written by James Doran and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the extent of the bias between Black-Scholes (1973)/Black (1976) implied volatility and realized term volatility in the equity and energy markets. Explicitly modeling a market price of volatility risk, we extend previous work by demonstrating that Black-Scholes is an upward-biased predictor of future realized volatility in Samp;P 500 and Samp;P 100 stock-market indices. Turning to the Black options-on-futures formula, we apply our methodology to options on energy contracts, a market in which crises are characterized by a positive correlation between price-returns and volatilities: After controlling for both term-structure and seasonality effects, our theoretical and empirical findings suggest a similar upward bias in the volatility implied in energy options contracts. We show the bias in both Black-Scholes/Black implied volatilities to be related to a negative market price of volatility risk.
