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IMPLIED VOLATILITIES
"... In this paper we propose analytical approximations for computing implied volatilities when timetomaturity τ is small. The analysis is performed in the framework of a twofactor model with local and stochastic volatility. We describe an algorithm for building the power series approximation of impli ..."
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In this paper we propose analytical approximations for computing implied volatilities when timetomaturity τ is small. The analysis is performed in the framework of a twofactor model with local and stochastic volatility. We describe an algorithm for building the power series approximation
Implied Volatility Functions: Empirical Tests
, 1995
"... Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violat ..."
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Cited by 303 (4 self)
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Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption
Dynamics of Implied Volatility Surfaces.
, 2001
"... The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. ..."
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Cited by 31 (0 self)
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The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce.
Multiplicative Models for Implied Volatility
 HECER Discussion Paper
, 2007
"... This paper estimates a mixture multiplicative error model for the implied volatilities of both call and put options on the Nikkei 225 index. Diagnostics show that the mixture multiplicative model is a good fit to the data, and it outperforms a multiplicative model with no mixture components. The fo ..."
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Cited by 4 (4 self)
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This paper estimates a mixture multiplicative error model for the implied volatilities of both call and put options on the Nikkei 225 index. Diagnostics show that the mixture multiplicative model is a good fit to the data, and it outperforms a multiplicative model with no mixture components
Normalization for Implied Volatility
, 2010
"... We study specific nonlinear transformations of the BlackScholes implied volatility to show remarkable properties of the volatility surface. Modelfree bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are ..."
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We study specific nonlinear transformations of the BlackScholes implied volatility to show remarkable properties of the volatility surface. Modelfree bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility
Implied Volatility Smirk
"... This paper studies implied volatility smirk quantitatively. We first propose a new concept of smirkness, which is defined as a triplet of atthemoney implied volatility, skewness (slope at the money) and smileness (curvature at the money) of implied volatility – moneyness curve. The moneyness is th ..."
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Cited by 1 (1 self)
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This paper studies implied volatility smirk quantitatively. We first propose a new concept of smirkness, which is defined as a triplet of atthemoney implied volatility, skewness (slope at the money) and smileness (curvature at the money) of implied volatility – moneyness curve. The moneyness
in estimating implied volatility
, 2011
"... Option markets have significant variation in liquidity across different option series. Illiquidity reduces the informativeness of the price. Price information for illiquid options is more noisy, and thus the implied volatilities based on these prices are more noisy. In this paper, we propose a schem ..."
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Option markets have significant variation in liquidity across different option series. Illiquidity reduces the informativeness of the price. Price information for illiquid options is more noisy, and thus the implied volatilities based on these prices are more noisy. In this paper, we propose a
Deterministic implied volatility models
 Quantitative Finance
"... In this paper, we characterize two deterministic implied volatility models, defined by assuming that either the perdelta or the perstrike implied volatility surface has a deterministic evolution. Practitioners have recently proposed these two models to describe two regimes of implied volatility (s ..."
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Cited by 10 (0 self)
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In this paper, we characterize two deterministic implied volatility models, defined by assuming that either the perdelta or the perstrike implied volatility surface has a deterministic evolution. Practitioners have recently proposed these two models to describe two regimes of implied volatility
The Dynamics of DAX Implied Volatilities
 International Quarterly Journal of Finance
"... On the basis of transaction data, this paper analyzes the strike proÞle of implied volatilities of German DAX options for a time to expiration of 45 days. Beside the S&P option contract, the DAX option is one of the most heavily traded stock index options in the world. Using WLS spline regressio ..."
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Cited by 16 (2 self)
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On the basis of transaction data, this paper analyzes the strike proÞle of implied volatilities of German DAX options for a time to expiration of 45 days. Beside the S&P option contract, the DAX option is one of the most heavily traded stock index options in the world. Using WLS spline
of asymmetric implied volatility
"... Abstract. We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in highfrequency data. Using transaction data ..."
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Abstract. We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in highfrequency data. Using transaction data
Results 1  10
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