New model improves precision in estimating volatility for derivative securities market.
The researchers developed a new method to calculate implied volatility in the stock market. Unlike previous methods that only considered the strike price, this new model also takes into account the expiration date of options. By doing so, they were able to improve the accuracy of volatility estimates. The model can show how volatility changes with different strike prices and expiration dates, providing valuable information for investors in the derivatives market.