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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
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FX volatility smile construction [PDF]
Wilmott, 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 ...
Reiswich, Dimitri, Wystup, Uwe
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Smiling under stochastic volatility [PDF]
Spanish Economic Review, 2004 This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous
León, Angel, Rubio Irigoyen, Gonzalo
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Capturing the volatility smile: parametric volatility models versus stochastic volatility models [PDF]
Public and Municipal Finance, 2016 Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
Belen Blanco
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Interest rate convexity and the volatility smile [PDF]
SSRN Electronic Journal, 2009 When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market.
Boenkost, Wolfram, Schmidt, Wolfgang M.
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Volatility smile at the Russian option market
Journal of Business Economics and Management, 2006 The main derivative exchange in Russia is FORTS (Futures and Options in RTS) which is a division of Russian Trade System (RTS). The underlying assets of option contracts are futures on Russian companies’ shares: OJSC “EES"1, OJPC “Lukoil"2 and OJSC ...
D. Golembiovsky, I. Baryshnikov
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Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
Mathematics, 2021 In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial ...
Long Teng
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Smiles & smirks: Volatility and leverage by jumps [PDF]
European Journal of Operational Research, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ballotta, L., Grégory, R.
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From Constant to Rough: A Survey of Continuous Volatility Modeling
Mathematics, 2023 In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field.
Giulia Di Nunno +3 more
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