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Volatility Skew

Markets Old Articles

When Sigma Speaks Loudly, Do Higher Moments Speak Louder? – Part 1

Introduction In this article, together with a brief introduction to the use of option-implied information in forecasting, we would like to give an answer to the question: does Option-Implied Skewness and Kurtosis improve the predictive power of (Squared) Implied Volatilities on Future Realised Variance? In order to do so, we Read more…

By BSIC, 5 years16 February 2020 ago
Markets Old Articles

Siemens AG: German Jumping

The Theory Behind the Implied Vol Jump The classical Black-Scholes model for option pricing assumes that stock prices follow a Geometric Brownian Motion (GBM) with constant drift and, more relevant for the scope of this article, constant volatility (σ). Analytically: where r is the risk-free rate, q is dividend yield Read more…

By BSIC, 7 years4 March 2018 ago

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