An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. In cap market, a cap/floor is quoted by implied volatilities but not prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility of a cap as a function of strike and maturity
Due to recent research disproving old claims in financial mathematics such as constant volatility in ...
Implied volatility is an important element in risk management and option pricing. Black-Scholes mod...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
In this thesis the construction of implied volatility measures is considered. Two popular option pri...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
Purpose: To propose a novel approach of extracting option implied volatility surface for assets with...
Volatilities play a critical role in financial industry as it is considered a common method to measu...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
The aim of this paper is twofold: to investigate how the information content of implied volatility v...
This dissertation consists of three essays. The first essay focuses on implied volatility estimation...
This paper investigates the properties of implied volatility series calculated from options on Treas...
Due to recent research disproving old claims in financial mathematics such as constant volatility in ...
Implied volatility is an important element in risk management and option pricing. Black-Scholes mod...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
In this thesis the construction of implied volatility measures is considered. Two popular option pri...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
Purpose: To propose a novel approach of extracting option implied volatility surface for assets with...
Volatilities play a critical role in financial industry as it is considered a common method to measu...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
The aim of this paper is twofold: to investigate how the information content of implied volatility v...
This dissertation consists of three essays. The first essay focuses on implied volatility estimation...
This paper investigates the properties of implied volatility series calculated from options on Treas...
Due to recent research disproving old claims in financial mathematics such as constant volatility in ...
Implied volatility is an important element in risk management and option pricing. Black-Scholes mod...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
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