Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source
On an Extension Multifractional SABR Model for Pricing Variance and Volatility Swaps
Asian Journal of Probability and StatisticsThis paper presents a robust methodology for the valuation of options on variance swaps and volatility swaps. While existing literature has often focused on the pricing of the swaps themselves under stochastic volatility models, the valuation of options on these second-order derivative products remains a challenge, particularly within a framework that ...
Abel ZONGO, S. Pierre Clovis NITIEMA
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Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Carol Alexandra, Leonardo M. Nogueira
core
Gamma and vega hedging using deep distributional reinforcement learning. [PDF]
Front Artif Intell, 2023 Cao J +6 more
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The SABR Model : Calibrated for Swaption's Volatility Smile
, 2014 Problem: The standard Black-Scholes framework cannot incorporate the volatility smiles usually observed in the markets. Instead, one must consider alternative stochastic volatility models such as the SABR. Little research about the suitability of the SABR model for Swedish market (swaption) data has been found.
Tran, Nguyen, Weigardh, Anton
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A Numerical Scheme Based on Semi-Static Hedging Strategy [PDF]
, 2012 In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options.
Imamura, Yuri +3 more
core
A variable-rate quantitative trait evolution model using penalized-likelihood. [PDF]
PeerJ, 2021 Revell LJ.
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"Pricing Barrier and Average Options under Stochastic Volatility Environment" [PDF]
This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach.
Akihiko Takahashi +2 more
core +3 more sources
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities. [PDF]
Rev Deriv Res (Dordr), 2022 Muck M.
europepmc +1 more source
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
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