On the implied volatility from a "purified" option price process
The option price, the implied volatility and the volatility index are often used as indicators of market sentiment about the future volatility. We proposed an alternative price process so-called the "purified" option price and its implied volatility for this purpose. Our aim is to reduce...
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| Format: | Conference Paper |
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Vietnam Mathematical Society
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/29348 |
| _version_ | 1848752779627069440 |
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| author | Luong, C. Dokuchaev, Nikolai |
| author2 | Quy Hy, N. |
| author_facet | Quy Hy, N. Luong, C. Dokuchaev, Nikolai |
| author_sort | Luong, C. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The option price, the implied volatility and the volatility index are often used as indicators of market sentiment about the future volatility. We proposed an alternative price process so-called the "purified" option price and its implied volatility for this purpose. Our aim is to reduce the impact of stock price movements on the implied volatility, provided that there are sufficient sets of price data and the underlying option contracts are European-style options. Since option prices are only available for finite sets of strike prices and expiration times, we suggested to use quadratic interpolation on the available contracts to approximate the missing prices. For this paper, we demonstrated the implied volatility of the proposed process on S\&P 500 Index Options. |
| first_indexed | 2025-11-14T08:14:03Z |
| format | Conference Paper |
| id | curtin-20.500.11937-29348 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:14:03Z |
| publishDate | 2014 |
| publisher | Vietnam Mathematical Society |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-293482017-01-30T13:12:20Z On the implied volatility from a "purified" option price process Luong, C. Dokuchaev, Nikolai Quy Hy, N. quadratic approximation implied volatility volatility index econometrics The option price, the implied volatility and the volatility index are often used as indicators of market sentiment about the future volatility. We proposed an alternative price process so-called the "purified" option price and its implied volatility for this purpose. Our aim is to reduce the impact of stock price movements on the implied volatility, provided that there are sufficient sets of price data and the underlying option contracts are European-style options. Since option prices are only available for finite sets of strike prices and expiration times, we suggested to use quadratic interpolation on the available contracts to approximate the missing prices. For this paper, we demonstrated the implied volatility of the proposed process on S\&P 500 Index Options. 2014 Conference Paper http://hdl.handle.net/20.500.11937/29348 Vietnam Mathematical Society restricted |
| spellingShingle | quadratic approximation implied volatility volatility index econometrics Luong, C. Dokuchaev, Nikolai On the implied volatility from a "purified" option price process |
| title | On the implied volatility from a "purified" option price process |
| title_full | On the implied volatility from a "purified" option price process |
| title_fullStr | On the implied volatility from a "purified" option price process |
| title_full_unstemmed | On the implied volatility from a "purified" option price process |
| title_short | On the implied volatility from a "purified" option price process |
| title_sort | on the implied volatility from a "purified" option price process |
| topic | quadratic approximation implied volatility volatility index econometrics |
| url | http://hdl.handle.net/20.500.11937/29348 |