Results 1 to 10 of about 263 (141)
Implied volatility estimation of bitcoin options and the stylized facts of option pricing. [PDF]
Financ Innov, 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.
Zulfiqar N, Gulzar S.
europepmc +2 more sources
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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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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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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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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From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Bernard Dumas, Elisa Luciano
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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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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 volatility smile.
Reiswich, Dimitri, Wystup, Uwe
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Option Pricing with Fractional Stochastic Volatilities and Jumps
Fractal and Fractional, 2023 Empirical studies suggest that asset price fluctuations exhibit “long memory”, “volatility smile”, “volatility clustering” and asset prices present “jump”.
Sumei Zhang, Hongquan Yong, Haiyang Xiao
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