Determining the implied volatility in the Dupire equation for vanilla European call options
, 2013 The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collection of
Bellassoued, Mourad +3 more
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Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]
The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
core
Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model [PDF]
The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework.
Petra Posedel
core
A Dynamic Hybrid Option Pricing Model By Genetic Algorithm And Black- Scholes Model
, 2010 Yi‐Chang Chen +2 more
openalex +1 more source
Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models [PDF]
, 2016 Ludovic Goudenège +2 more
openalex +1 more source
Revista Brasileira de Gestão De Negócios, 2004 RESUMOEntre as suposições subjacentes do modelo Black-Scholes-Merton, as maiores polarizações empíricas são causadas por aquelas com uma volatilidade fixa do recurso subjacente.
MARTIN, Diógenes Manoel Leiva
doaj
Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]
This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
core
The Continuous Limit of GARCH Processess [PDF]
Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized.
Carol Alexandra, Emese Lazar
core
Aplikasi Algoritma Biseksi dan Newton-Raphson dalam Menaksir Nilai Volatilitas Implied
Jurnal Matematika, 2012 Volatilitas adalah suatu besaran yang mengukuran seberapa jauh suatu harga saham bergerak dalam suatu periode tertentu dapat juga diartikan sebagai persentase simpangan baku dari perubahan harga harian suatu saham.
Komang Dharmawan, I Nyoman Widana
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