Results 11 to 20 of about 33,734 (264)
Arbitrage-free smoothing of the implied volatility surface [PDF]
Quantitative Finance, 2009 The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local volatilities, and ultimately, into mispricings.
Matthias R Fengler
exaly +9 more sources
The surface of implied firm’s asset volatility
Journal of Banking & Finance, 2020 This paper analyzes the surface of CDS implied firm's asset volatility at the aggregate market level, using a sample of European investment-grade firms during the 2007-2014 period. The term structure of asset implied volatilities is backed-out from the term structure of CDS spreads, while the moneyness dimension is proxied by the ratio of the default ...
Lidija Lovreta, Florina Silaghi
openaire +5 more sources
Pricing vanilla options using artificial neural networks: Application to the South African market
Cogent Economics & Finance, 2021 In this paper, a feed-forward artificial neural network (ANN) is used to price Johannesburg Stock Exchange (JSE) Top 40 European call options using a constructed implied volatility surface.
Ryno du Plooy, Pierre J. Venter
doaj +1 more source
South African Journal of Economic and Management Sciences, 2017 Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed.
Emlyn Flint, Eben Maré
doaj +1 more source
Sound Deposit Insurance Pricing Using a Machine Learning Approach
Risks, 2019 While the main conceptual issue related to deposit insurances is the moral hazard risk, the main technical issue is inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage.
Hirbod Assa +2 more
doaj +1 more source
A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional, 2017 In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law ...
Hideharu Funahashi, Masaaki Kijima
doaj +1 more source
, 2021 In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account.
Chen, Bowei, Yang, Yongxin, Zheng, Yu
core +1 more source
Simulation of Implied Volatility Surfaces via Tangent Lévy Models [PDF]
SIAM Journal on Financial Mathematics, 2017 In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo samples of future paths of implied volatility surfaces.
Rene Carmona, Yi Ma, Sergey Nadtochiy
openaire +2 more sources
Asymptotic Expansion of Risk-Neutral Pricing Density
International Journal of Financial Studies, 2018 A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary.
Thomas Mazzoni
doaj +1 more source
Credit Spreads and Equity Volatility during Periods of Financial Turmoil
Applied Finance Letters, 2014 We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC ...
Katrin Gottschalk
doaj +1 more source