PDF results for "implied volatility"

1. [PDF] Cross-dynamics of volatility term structures implied by foreign ...

   In 2005 all ECB publications will feature a motif taken from the 50 banknote. WORKING PAPER SERIES NO. 530 / SEPTEMBER 2005 This paper can be downloaded without ...
   www.ecb.int/pub/pdf/scpwps/ecbwp530.pdf — 2012-02-24T2

2. [PDF] Implied volatility and future portfolio returns

   Implied volatility and future portfolio returns Prithviraj S. Banerjee, James S. Doran, David R. Peterson * Department of Finance, College of Business, Florida State ...
   tcnh.nttc.edu.vn/images/tapchiqt/45.PDF — 2012-03-13T0

3. [PDF] Implied Volatilities of Caps: aGaussian approach

   Figure3 Average of the US market cap implied volatility term struc-tureswith 95%confldenceband. The sample is divided into four periods with similar characteristics: 7/9 ...
   www.unipg.it/angelini/welcome_file/ah2005_qdefs.pdf — 2012-03-13T1

4. [PDF] CAN THE IMPLIED VOLATILITY SURFACE MOVE BY PARALLEL SHIFTS? L. C ...

   CAN THE IMPLIED VOLATILITY SURFACE MOVE BY PARALLEL SHIFTS? L. C. G. ROGERS AND M. R. TEHRANCHI Abstract. This note explores the analogy between the dynamics of the ...
   www.statslab.cam.ac.uk/~mike/papers/parallel-shifts.pdf — 2012-03-06T1

5. [PDF] Implied Volatility Term Structure and Vega Hedging in the Q-Alpha ...

   Implied Volatility Term Structure and Vega Hedging in the Q-Alpha-Sigma Model Matthew Dixon, Paul Oreto, David Starr, Chen Zheng June 8, 2008 Abstract
   www.stanford.edu/class/msande444/2008/ivts1report.pdf — 2012-03-04T1

6. [PDF] The Volatility Structure Implied by Options on the SPI Futures ...

   - 115-2 The Volatility Structure Implied by Options on the SPI Futures Contract by Christine A. Brown Abstract: The Asay (1982) option pricing model prices ...
   janroman.dhis.org/finance/Volatility%20Models/Smile.pdf — 2012-03-08T0

7. [PDF] Information Content of Option Implied Volatility: Evidence from ...

   Information Content of Option Implied Volatility: Evidence from the Indian Market S. S. S. Kumar This paper attempts to investigate the information content of the ...
   dspace.iimk.ac.in/bitstream/2259/613/1/ssskumar.pdf — 2012-03-07T0

8. [PDF] Journal of Agricultural and Resource Economics 3

   Estimates of the implied volatility can then be obtained by inverting this pricing model and solving for the standard deviation. At any moment, there are commonly ...
   ageconsearch.umn.edu/bitstream/8637/1/31030508.pdf — 2012-03-11T1

9. [PDF] Volatility Factor in Concept and Practice

   3 RMA calculates implied volatility using data from barchart.com. 4 Anyone at any time can acquire the same information by paying a subscription fee to access the website.
   www.ag-risk.org/NCISPUBS/Today/2011/Articles/Volatility_Article... — 2012-02-21T1

10. [PDF] The information content of implied volatility in light of the jump ...

    The information content of implied volatility in light of the jump/continuous decomposition of realized volatility Pierre Giotand S ebastienLaurent January 16 ...
    www.core.ucl.ac.be/~laurent/pdf/implied4_8.pdf — 2012-03-06T1