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Saddle-Point Approach to Large-Time Volatility Smile [PDF]
arXiv, 2022 We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function fulfills a L\'evy-type scaling behavior in large time, the approach allows us to study analytically the large-time ...
Chun Yat Yeung, Ali Hirsa
arxiv +4 more sources
FX Volatility Smile Construction [PDF]
, 2012 The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied ...
Dimitri Reiswich, Uwe Wystup
openalex +4 more sources
Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices [PDF]
, 2001 Steven Aric Weinberg
openalex +2 more sources
Pricing rule based on non-arbitrage arguments for random volatility and volatility smile [PDF]
, 2002 Nikolai Dokuchaev
openalex +3 more sources
Arbitrage-Free Prediction of the Implied Volatility Smile [PDF]
, 2014 Πέτρος Δελλαπόρτας +1 more
openalex +3 more sources
Implied Distribution as a Function of the Volatility Smile [PDF]
, 2011 Bertrand Tavin
openalex +1 more source
An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile
, 2010 Lech A. Grzelak, Cornelis W. Oosterlee
openalex +3 more sources
On the Curvature of the Smile in Stochastic Volatility Models [PDF]
, 2017 Elisa Alòs, Jorge A. León
openalex +1 more source
The effect of divergence of investor beliefs on implied volatility smile
, 2012 Wesr Mala
openalex +4 more sources
Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns
, 2000 Belal E. Baaquie, L. C. Kwek, M. Srikant
openalex +2 more sources