Results 1 to 10 of about 1,675,780 (312)
Asymptotics of forward implied volatility [PDF]
SSRN Electronic Journal, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models.
Jacquier, Antoine, Roome, Patrick
core +11 more sources
Implied volatility estimation of bitcoin options and the stylized facts of option pricing [PDF]
Financial Innovation, 2021 The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.
Noshaba Zulfiqar, Saqib Gulzar
doaj +2 more sources
A remark on Gatheral's 'most-likely path approximation' of implied volatility [PDF]
arXiv, 2009 We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of 'forward implied variance' in the original derivation of Gatheral, who introduced this representation in his book 'The Volatility Surface'.
Martin Keller‐Ressel, Josef Teichmann
arxiv +3 more sources
Normalization for Implied Volatility [PDF]
arXiv, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
arxiv +4 more sources
Explicit implied volatilities for multifactor local-stochastic volatility models [PDF]
arXiv, 2013 We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical ...
Matthew Lorig +2 more
arxiv +3 more sources
Forward implied volatility expansion in time-dependent local volatility models****** [PDF]
ESAIM: Proceedings and Surveys, 2014 We introduce an analytical approximation to efficiently price forward start options on equity in time-dependent local volatility models as the forward start date, the maturity or the volatility coefficient are small.
Bompis Romain, Hok Julien
doaj +2 more sources
A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach [PDF]
arXiv, 2011 First, we show that implied normal volatility is intimately linked with the incomplete Gamma function. Then, we deduce an expansion on implied normal volatility in terms of the time-value of a European call option. Then, we formulate an equivalence between the implied normal volatility and the lognormal implied volatility with any strike and any model.
Cyril Grunspan
arxiv +3 more sources
The Chebyshev Method for the Implied Volatility [PDF]
Journal of Computational Finance, 2017 The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration.
K. Glau, Paul Herold, D. Madan, C. Pötz
semanticscholar +6 more sources
Convergence of At-The-Money Implied Volatilities to the Spot Volatility [PDF]
Journal of Applied Probability, 2008 We study the convergence of at-the-money implied volatilities to the spot volatility in a general model with a Brownian component and a jump component of finite variation. This result is a consequence of the robustness of the Black-Scholes formula and of the central limit theorem for martingales.
Valdo Durrleman
openalex +4 more sources
Implied volatility and risk aversion in a simple model with uncertain growth [PDF]
, 2009 We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.parameter uncertainty, option pricing, implied volatility,
Frederik Lundtofte
core +2 more sources