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A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies

Description: One basic assumption of the celebrated Black-Scholes-Merton PDE model for pricing derivatives is that the volatility is a constant. However, the implied volatility plot based on real data is not constant, but curved exhibiting patterns of volatility skews or smiles. Since the volatility is not observable, various stochastic volatility models have been proposed to overcome the problem of non-constant volatility. Although these methods are fairly successful in modeling volatilities, they still re… more
Date: December 2021
Creator: Zhou, Jie
Partner: UNT Libraries
open access

The effect of gamma irradiation of the volatility and redox state of simulated DWPF high-level nuclear waste glasses

Description: Gamma-induced volatility of simulated DWPF high-level nuclear waste glasses is highly dependent upon the redox state of the glass. For oxidized glasses with an Fe{sup 2+}/(Fe{sup 2+} + Fe{sup 3+}) ratio < 0.1, no volatility was detected after gamma irradiation. Since the projected DWPF high-level radioactive waste glasses will be oxidized, no significant gamma-induced volatility is expected for these glasses upto the glass transition temperature. For larger pieces of highly-reduced DWPF simulat… more
Date: January 11, 1993
Creator: Harbour, J. R.; Marra, J. C. & Bibler, N. E.
Partner: UNT Libraries Government Documents Department
open access

The effect of gamma irradiation of the volatility and redox state of simulated DWPF high-level nuclear waste glasses

Description: Gamma-induced volatility of simulated DWPF high-level nuclear waste glasses is highly dependent upon the redox state of the glass. For oxidized glasses with an Fe[sup 2+]/(Fe[sup 2+] + Fe[sup 3+]) ratio < 0.1, no volatility was detected after gamma irradiation. Since the projected DWPF high-level radioactive waste glasses will be oxidized, no significant gamma-induced volatility is expected for these glasses upto the glass transition temperature. For larger pieces of highly-reduced DWPF simulat… more
Date: January 11, 1993
Creator: Harbour, J. R.; Marra, J. C. & Bibler, N. E.
Partner: UNT Libraries Government Documents Department
open access

How is the Volatility Priced by the Stock Market?

Description: Traditional portfolio theory suggests that, in equilibrium, only the market risk is priced in the cross-section of expected stock returns. However, if the market is not perfect and investors are constantly changing investing behaviors based on their perceptions about future market outlook, then non-traditional risk factors could potentially provide significant power of describing the expected stock returns. This dissertation has two essays on the pricing of volatility, in which the market is no… more
Date: August 2020
Creator: Yu, Huaibing
Partner: UNT Libraries
open access

Information Content of Iron Butterfly Arbitrage Bounds

Description: Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underly… more
Date: December 2016
Creator: Kochan, Mucahit
Partner: UNT Libraries
open access

National 2010-2011 Survey of E85: CRC Project E-85-2

Description: This study examined the quality of E85 fuel around the country in each of the three volatility classes identified in ASTM D5798-10. Samples were collected from pumps in 21 states between July 2010 and May 2011, with almost 40 samples collected in each class. Parameters tested to assess fuel quality were volatility, ethanol content, water content, acidity, pHe, inorganic chloride and sulfate, and total sulfate. Class 1 samples more often met the volatility specification than samples from other c… more
Date: December 1, 2011
Creator: Alleman, T. L.
Partner: UNT Libraries Government Documents Department
open access

Study of cesium volatility from sodium carbonate based melts

Description: Purpose of this study was to obtain thermodynamic data on cesium volatility from sodium carbonate-based molten salts for application to the Rockwell-ETEC molten salt oxidation process. At 1073 to 1373 K, volatility tests were conducted on a horizontal and a vertical transpiration apparatus using a carrier gas composed of CO{sub 2}(g) and H{sub 2}O(g) which was passed over or bubbled through a sodium carbonate bath containing cesium carbonate and various additives. The major vapor species was id… more
Date: December 1, 1993
Creator: Ebbinghaus, B. B.; Krikorian, O. H.; Adamson, M. G. & Fleming, D. L.
Partner: UNT Libraries Government Documents Department
open access

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Description: When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy (sell) the ind… more
Date: December 2007
Creator: Lin, Cheng-I Eric
Partner: UNT Libraries
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