An estimation of implied volatility for KOSPI200 option
نویسندگان
چکیده
منابع مشابه
Estimation of Options Implied Volatility Curve
• This document describes how I used mathematical methods for the estimation of implied volatility curve, a crucial engineering problem raised in our High Frequency Trading (HFT) strategy. I apologize for using many of jargons and unformatted figures. This is because the materials were not prepared for an academic purpose, but just for internal usage. • All data used in this document are about ...
متن کاملNon-Parametric Estimation of an Implied Volatility Surface
Given standard di usion-based option pricing assumptions and a set of traded European option quotes and their pay-o s at maturity, we identify a unique and stable set of di usion coe cients or volatilities. E ectively, we invert a set of option prices into a stateand time-dependent volatility function. Our problem di ers from the standard direct problem in which volatilities and maturity pay-o ...
متن کاملOption Returns and the Cross-Sectional Predictability of Implied Volatility∗
I study the cross-section of realized stock option returns and find an economically important source of predictability in the cross-sectional distribution of implied volatility. A zero-cost trading strategy that is long in straddles with a large positive forecast of the change in implied volatility and short in straddles with a large negative forecast produces an economically important and stat...
متن کاملNo-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are...
متن کاملThe term structure of equity option implied volatility
This paper investigates the relationship between the slope of the implied volatility (IV) term structure and future option returns. In Fama-Macbeth regressions we demonstrate that implied volatility slopes are positively correlated with future returns on short-term at-the-month straddles. A strategy that buys straddles with high IV slopes and short sells straddles with low IV slopes returns sev...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Korean Data and Information Science Society
سال: 2014
ISSN: 1598-9402
DOI: 10.7465/jkdi.2014.25.3.513