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Journal of Financial Economics 50 (1998) 125150 The relation between implied and realized volatility1 B.J. Christensen!, N.R. Prabhala",*!School of Economics and ...
finance.martinsewell.com/stylized-facts/volatility/ChristensenPrab...
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2012-06-24T0
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A Corridor Fix for VIX: Developing a Coherent Model-Free Option-Implied Volatility Measure Torben G. Andersen Oleg Bondarenko Maria T. Gonzalez-Perez
www.uic.edu/cba/cba-depts/finance/documents/TorbenABG.pdf
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2012-06-28T0
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Global Association of Risk Professionals. Spread Options: Implied Volatility and Correlation. Speaker: Davis W. Edwards, ERP
www.garp.org/media/710054/houston_110111.pdf
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2012-06-23T2
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A remark on Gatherals most-likely path approximation of implied volatility Martin Keller-Ressel, Josef Teichmann November 3, 2009 We give a rigorous proof of ...
page.math.tu-berlin.de/~mkeller/docs/most_likely_path.pdf
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2012-06-29T0
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arXiv:1107.1834v1 [q-fin.CP] 10 Jul 2011 Implied volatility surface: construction methodologies and characteristics Cristian Homescu This version: July 9, 2011
arxiv.org/pdf/1107.1834.pdf
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2012-06-21T1
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the effects of hedgers a nd speculators on the implied volatility skew: a transactions data study ...
www2.fiu.edu/~daiglerr/pdf/smiles_intraday_19.pdf
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2012-07-02T2
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Page 1 of 3May 2006 Implied Volatility Trees and Their Application to Employee Stock Options Montgomery Investment Technology, Inc. / Sorin R. Straja, Ph.D., FRM
www.fintools.com/docs/Implied%20Volatility%20Trees.pdf
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2012-06-30T0
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Implied Volatility Smirk Jin E. Zhang1 School of Business and School of Economics and Finance The University of Hong Kong Pokfulam Road, Hong Kong
www.ccfr.org.cn/cicf2005/paper/20050126110345.PDF
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2012-07-02T0
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to 1996, implied volatility rose for 3 countries (Indonesia, Malaysia and the Philippines) and fell for 2 (Korea and Thailand). These two countries
www.wilmott.com/pdfs/030408_crisk.pdf
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2012-06-23T2
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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX M.FUKASAWA,I.ISHIDA,N.MAGHREBI,K.OYA,M.UBUKATA,ANDK.YAMAZAKI Abstract. We propose a new method for approximating ...
www-csfi.sigmath.es.osaka-u.ac.jp/structure/activity/vxj/CSFI-VXJ...
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2012-06-29T1
