Implied volatility duration: A measure for the timing of uncertainty resolution

Journal of Financial Economics ◽

10.1016/j.jfineco.2020.11.003 ◽

2020 ◽

Author(s):

Christian Schlag ◽

Julian Thimme ◽

Rüdiger Weber

Keyword(s):

Implied Volatility ◽

Uncertainty Resolution ◽

Timing Of Uncertainty Resolution

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Hope: An empirical study of attitude toward the timing of uncertainty resolution

Journal of Risk and Uncertainty ◽

10.1007/bf01064045 ◽

1994 ◽

Vol 8 (3) ◽

pp. 267-288 ◽

Author(s):

Soo Hong Chew ◽

Joanna L. Ho

Keyword(s):

Empirical Study ◽

Uncertainty Resolution ◽

Timing Of Uncertainty Resolution

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Hope: an empirical study of attitude toward the timing of uncertainty resolution.

Insurance Mathematics and Economics ◽

10.1016/0167-6687(94)90736-6 ◽

1994 ◽

Vol 15 (1) ◽

pp. 85

Keyword(s):

Empirical Study ◽

Uncertainty Resolution ◽

Timing Of Uncertainty Resolution

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Risk-Adjusted Values, Timing of Uncertainty Resolution, and the Measurement of Project Worth

Journal of Financial and Quantitative Analysis ◽

10.2307/2331003 ◽

1984 ◽

Vol 19 (1) ◽

pp. 83 ◽

Author(s):

Richard H. Bernhard

Keyword(s):

Uncertainty Resolution ◽

Timing Of Uncertainty Resolution

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A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

The Journal of Computational Finance ◽

10.21314/jcf.2000.054 ◽

2000 ◽

Vol 4 (1) ◽

pp. 21-56 ◽

Author(s):

Jacqueline Huang ◽

Jong-Shi Pang

Keyword(s):

Mathematical Programming ◽

Implied Volatility ◽

American Options ◽

Equilibrium Constraints ◽

Implied Volatility Surface ◽

Volatility Surface

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Implied volatility surface reconstruction for energy markets: spot price modeling versus surface parametrization

The Journal of Energy Markets ◽

10.21314/jem.2011.060 ◽

2011 ◽

Vol 4 (2) ◽

pp. 67-85 ◽

Author(s):

Mikhail Deryabin

Keyword(s):

Surface Reconstruction ◽

Implied Volatility ◽

Energy Markets ◽

Implied Volatility Surface ◽

Volatility Surface

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Estimating the Yield-Curve - An Implied Volatility Approach (in Danish)

SSRN Electronic Journal ◽

10.2139/ssrn.1484940 ◽

1994 ◽

Author(s):

Claus Anderskov Madsen

Keyword(s):

Implied Volatility ◽

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Revisiting Modern Discounting of Risky Cash Flows: Imbedding Uncertainty Resolution Functions into Risk-Adjusted Discount Rates and Certainty Equivalent Factors (Revised)

SSRN Electronic Journal ◽

10.2139/ssrn.1526683 ◽

2009 ◽

Author(s):

Sergei Vasilievich Cheremushkin

Keyword(s):

Certainty Equivalent ◽

Discount Rates ◽

Uncertainty Resolution

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The Term Structure of Implied Volatility in Symmetric Models with Applications to Heston

SSRN Electronic Journal ◽

10.2139/ssrn.1622828 ◽

2010 ◽

Author(s):

Stefano De Marco ◽

Claude Martini

Keyword(s):

Term Structure ◽

Implied Volatility

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Coarse Thinking, Implied Volatility, and the Price of Call and Put Options

SSRN Electronic Journal ◽

10.2139/ssrn.1636247 ◽

2010 ◽

Author(s):

Hammad Siddiqi

Keyword(s):

Implied Volatility ◽

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