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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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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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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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Volatility smile as relativistic effect [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales and self-financing hedging strategies and price claims (options). This model is a 1-constant-parameter extension of
Zura Kakushadze
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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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SSRN Electronic Journal, 2001 The paper assumes that the implied volatility of options with some given expiration is a quadratic function of the moneyness. The coefficients of this quadratic function (the smile) are time dependent and stochastic. The paper derives exposure parameters of the price of the option to the local change in each of the smile coefficients, and an ...
Haim Reisman
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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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On refined volatility smile expansion in the Heston model [PDF]
, 2010 It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation.
Friz, P. +3 more
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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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The Forward Smile in Local-Stochastic Volatility Models
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
MAZZON, ANDREA, PASCUCCI, ANDREA
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