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dc.contributor.authorLuong, C.
dc.contributor.authorDokuchaev, Nikolai
dc.contributor.editorQuy Hy, N.
dc.date.accessioned2017-01-30T13:12:19Z
dc.date.available2017-01-30T13:12:19Z
dc.date.created2015-03-31T20:00:25Z
dc.date.issued2014
dc.identifier.citationLuong, C. and Dokuchaev, N. 2014. On the implied volatility from a “purified" option price process. Vietnam Journal of Mathematical Applications 12 (2) : pp 71-82.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/29348
dc.description.abstract

The option price, the implied volatility and the volatility index are often used as indicators of market sentiment about the future volatility. We proposed an alternative price process so-called the "purified" option price and its implied volatility for this purpose. Our aim is to reduce the impact of stock price movements on the implied volatility, provided that there are sufficient sets of price data and the underlying option contracts are European-style options. Since option prices are only available for finite sets of strike prices and expiration times, we suggested to use quadratic interpolation on the available contracts to approximate the missing prices. For this paper, we demonstrated the implied volatility of the proposed process on S\&P 500 Index Options.

dc.publisherVietnam Mathematical Society
dc.subjectquadratic approximation
dc.subjectimplied volatility
dc.subjectvolatility index
dc.subjecteconometrics
dc.titleOn the implied volatility from a "purified" option price process
dc.typeConference Paper
dcterms.source.volume12
dcterms.source.number2
dcterms.source.startPage71
dcterms.source.endPage82
dcterms.source.issn1859-4492
dcterms.source.titleVietnam Journal of Mathematical Applications Vol. 12(2)
dcterms.source.seriesVietnam Journal of Mathematical Applications Vol. 12(2)
dcterms.source.conferenceVietnam International Applied Mathematics Conference (VIAMC)
dcterms.source.conference-start-dateDec 19 2013
dcterms.source.conferencelocationHo Chi Minh City
dcterms.source.placeVietnam
curtin.note

Presented at The Vietnam International Applied Mathematics Conference (VIAMC), Dec 19 2013

curtin.note

This work was supported by ARC grant of Australia DP120100928.

curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusFulltext not available


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