Add to ORKGThis paper looks into the distribution of the term structure of the implied volatility on foreign currency options. It investigates the types of volatility curve shifts involved and their magnitudes. Our study focuses on the implied volatilities of OTC currency options
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
A contingent claims valuation model which allows to highlight the implications of program trading in...
Using aflexiblemethod,wedevelop the term structure of volatility impliedby corn futures optionswith ...
this article, we contribute to the theoretical understanding of the volatility of option prices by s...
This paper examines the cross-dynamics of volatility term structure slopes implied by foreign exchan...
We claim that previously proposed parametric specifications that linearly approximate the term struc...
Implied volatility in option prices is supposed to be the market's best estimate of future volatilit...
We construct a statistical model for the termstructure of implied volatilities of currency options b...
Abstract: This paper models the implied volatility skew of the JSE Top 40 options, with the aim of p...
This paper investigates the empirical relation between spot and forward implied volatility in foreig...
Volatility implied from observed option contracts systematically varies with the contracts’ strike p...
In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
The present paper addresses the problem of computing implied volatilities of options written on a do...
This chapter uses implied volatilities to examine both the existence and form of the currency risk p...
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
A contingent claims valuation model which allows to highlight the implications of program trading in...
Using aflexiblemethod,wedevelop the term structure of volatility impliedby corn futures optionswith ...
this article, we contribute to the theoretical understanding of the volatility of option prices by s...
This paper examines the cross-dynamics of volatility term structure slopes implied by foreign exchan...
We claim that previously proposed parametric specifications that linearly approximate the term struc...
Implied volatility in option prices is supposed to be the market's best estimate of future volatilit...
We construct a statistical model for the termstructure of implied volatilities of currency options b...
Abstract: This paper models the implied volatility skew of the JSE Top 40 options, with the aim of p...
This paper investigates the empirical relation between spot and forward implied volatility in foreig...
Volatility implied from observed option contracts systematically varies with the contracts’ strike p...
In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
The present paper addresses the problem of computing implied volatilities of options written on a do...
This chapter uses implied volatilities to examine both the existence and form of the currency risk p...
Volatility smiles arise in currency option markets when empirical exchange rate returns distribution...
A contingent claims valuation model which allows to highlight the implications of program trading in...
Using aflexiblemethod,wedevelop the term structure of volatility impliedby corn futures optionswith ...