Concept

Implied volatility

Related publications (98)

Variance Covariance Orders and Median Preserving Spreads

A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increas- ing functions of this variable is smaller. We characterize completely the covariance order, give strong suﬃcient conditi ...

2009

Dynamics of trion formation in GaAs quantum wells

Benoît Marie Joseph Deveaud, Jean Berney, François Morier-Genoud, Marcia Portella Oberli, Lars Kappei

We show a double path mechanism for the formation of charged excitons (trions); they are formed through bi- and trimolecular processes. This directly implies that both negatively and positively charged excitons coexist in a quantum well, even in the absenc ...

2009

Muller-Lyer Illusion Effect on a Reaching Movement in Simultaneous Presentation of Visual and Haptic/Kinesthetic Cues

Hannes Bleuler, Masayuki Hara, Jian Huang

This paper describes the effect of Muller-Lyer illusion on a reaching movement just after the visual and haptic/kinesthetic cues are simultaneously presented. First, a standard experiment on this visual illusion is conducted by means of the most typical wa ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2009

Role for cis interaction between the inhibitory Ly49A receptor and MHC class I for natural killer cell education

Friedrich Beermann

Natural killer (NK) cells show enhanced functional competence when they express inhibitory receptors specific for inherited major histocompatibility complex class I (MHC-I) molecules. Current models imply that NK cell education requires an interaction of i ...

2009

A GARCH Option Pricing Model with Filtered Historical Simulation

Loriano Mancini, Giovanni Barone-Adesi

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...

2008

Out of Sample Forecasts of Quadratic Variation

Loriano Mancini

We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the v ...

2008

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

On the volatility and production mechanisms of newly formed nitrate and water soluble organic aerosol in Mexico City

Athanasios Nenes

Measurements of atmospheric gases and fine particle chemistry were made in the Mexico City Metropolitan Area (MCMA) at a site ∼30 km down wind of the city center. Ammonium nitrate (NH4NO3) dominated the inorganic aerosol fraction and showed a distinct diur ...

European Geosciences Union2008

Assessing the Energy Vulnerability: Case of Industrialised Countries

Edgard Gnansounou

The emergence of new big consumer countries on the energy markets and the perspective of oil and gas depletion at the end of the current century raise the concerns about fair distribution of the remaining resources for the common and sustainable wellbeing ...

2008

Concentration of Magnetization for Linear Block Codes

Nicolas Macris, Satish Babu Korada, Shrinivas Kudekar

We consider communication over the binary erasure and the binary additive white gaussian noise channels using fixed linear block codes and also appropriate ensembles of such codes. We show concentration of the magnetization over the channel realizations an ...

2008

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