On the implied volatility from a "purified" option price process

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Luong, C., Dokuchaev, Nikolai
Other Authors:	Quy Hy, N.
Format:	Conference Paper
Published:	Vietnam Mathematical Society 2014
Subjects:	quadratic approximation implied volatility volatility index econometrics
Online Access:	http://hdl.handle.net/20.500.11937/29348

Similar Items

Analysis of market volatility via a dynamically purified option price process
by: Luong, C., et al.
Published: (2014)

On the implied volatility layers under the future risk-free rate uncertainty
by: Hin, L., et al.
Published: (2014)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
by: Zhao, Wenjing
Published: (2009)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Option pricing via maximization over uncertainty and correction of volatility smile
by: Dokuchaev, Nikolai
Published: (2011)

Volatility estimation from short time series of stock prices
by: Dokuchaev, Nikolai
Published: (2013)

Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market
by: Sideris, Epameinondas
Published: (2016)

Forecasting Volatility and Analyzing the Features of Volatility by three different methods- empirical study based on SSE 50ETF
by: Zou, YuanFang
Published: (2019)

A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)

Option valuation under no-arbitrage constraints with neural networks
by: Cao, Yi, et al.
Published: (2021)

Modelling dependency of volatility on sampling frequency via delay equations
by: Luong, C., et al.
Published: (2016)

News Sentiment and the Investor Fear Gauge
by: Smales, Lee
Published: (2013)

The impact of launching Stock Index Futures on the volatility of the Chinese stock market
by: Liu, Mengxi
Published: (2008)

Volatility and diversification of exports: firm level theory and evidence
by: Vannoorenberghe, Gonzague, et al.
Published: (2016)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

Understanding the price of volatility risk in carry trades
by: Ahmed, Shamim, et al.
Published: (2015)

Political Uncertainty and Financial Market Uncertainty in an Australian context
by: Smales, Lee
Published: (2014)

The role of political uncertainty in Australian financial markets
by: Smales, Lee
Published: (2015)

Is Black-Scholes Model An Appropriate Option Pricing Tool in Chinese Stock Market?
by: Mao, Qing
Published: (2007)

Is Black-Scholes Model An Appropriate Option Pricing Tool in Chinese Stock Market?
by: Mao, Qing
Published: (2007)

Volatility forecasting in the Chinese commodity futures market with intraday data
by: Ying, Jiang, et al.
Published: (2016)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by: Zu, Yang, et al.
Published: (2017)

Volatility dynamics in Dubai gold futures market
by: Nekhili, R., et al.
Published: (2011)

COVID-19 and Chinese stock prices: a volatility analysis
by: Suixin, Gao
Published: (2024)

Volatility modeling and prediction: the role of price impact
by: Jiang, Ying, et al.
Published: (2019)

Volatility dynamics and seasonality in energy prices: implications for crack-spread price risk
by: Suenaga, Hiroaki, et al.
Published: (2011)

Does market structure matter?Trading costs and return volatility around exchange listings
by: Bessembinder, H., et al.
Published: (2008)

Better the devil you know: The Influence of Political Incumbency on Australian Financial Market Uncertainty
by: Smales, Lee
Published: (2015)

Exchange Rate Volatility Before and After the Float
by: Wali, Muammer, et al.
Published: (2013)

Analysis of the impact of the margin trading system and stock market volatility in mainland China —Base on an empirical study
by: Ao, Xinyi
Published: (2022)

Comparative Study of Electricity Spot Price Volatility Dynamics and Hedging Effectiveness of Electricity Futures - International Comparison (Europe - Asia Pacific)
by: Wang, Yuelang
Published: (2017)

Nonparametric specification tests for stochastic volatility models based on volatility density
by: Zu, Yang
Published: (2015)

The impact of momentum trades on return comovements and asymmetric volatility in dual listings
by: Dey, Malay K., et al.
Published: (2018)

Volatility Forecasting during Stock Disaster in China A-share Stock Market
by: BAO, JINGYI
Published: (2018)

Does hedge accounting reduce earnings volatility? Evidence from the implementation of MFRS no. 9 in Malaysia two export-oriented industries
by: Soh, Siong Ching
Published: (2020)

Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
by: Suenaga, Hiroaki
Published: (2013)