<p>The Black-Scholes implied volatility smile obtained from market data of European call options on the SPXpm index is compared to the implied volatility obtained from empirical option prices, generated using a <i>K</i> = 2, <i>q</i> = 0.78 model.</p
An implied volatility is the volatility implied by the market price of an option based on the Black-...
The objective of this study is to examine if jumps in index prices affect the implied volatility smi...
In this paper, we examine the predictability of observed volatility smiles in three major European i...
The implied volatility smile refers to the variation in implied volatilities across options which ...
Options priced by the Black-Scholes formula are quoted on the market by implied volatility. In other...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
This paper provides an industry standard on how to quantify the shape of the implied volatility smir...
This paper provides an industry standard on how to quantify the shape of the implied volatility smir...
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile ...
In the past 30 years, the progress of option pricing theory and models are dramatic, from the classi...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
This dissertation consists of three essays. The first essay focuses on implied volatility estimation...
This thesis is a study of the implied volatility component of the Black and Scholes option-pricing m...
The most popular explanation of the smile observed in Black-Scholes implied volatilities is that i...
If options are correctly priced, the interpretation of volatility in the Black-Scholes model (as ide...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
The objective of this study is to examine if jumps in index prices affect the implied volatility smi...
In this paper, we examine the predictability of observed volatility smiles in three major European i...
The implied volatility smile refers to the variation in implied volatilities across options which ...
Options priced by the Black-Scholes formula are quoted on the market by implied volatility. In other...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
This paper provides an industry standard on how to quantify the shape of the implied volatility smir...
This paper provides an industry standard on how to quantify the shape of the implied volatility smir...
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile ...
In the past 30 years, the progress of option pricing theory and models are dramatic, from the classi...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
This dissertation consists of three essays. The first essay focuses on implied volatility estimation...
This thesis is a study of the implied volatility component of the Black and Scholes option-pricing m...
The most popular explanation of the smile observed in Black-Scholes implied volatilities is that i...
If options are correctly priced, the interpretation of volatility in the Black-Scholes model (as ide...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
The objective of this study is to examine if jumps in index prices affect the implied volatility smi...
In this paper, we examine the predictability of observed volatility smiles in three major European i...
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