Results 1 to 10 of about 583,571 (288)
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
core +6 more sources
Arbitrage-free prediction of the implied volatility smile [PDF]
SSRN Electronic Journal, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
core +10 more sources
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.
core +6 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
doaj +6 more sources
To sigmoid-based functional description of the volatility smile [PDF]
The North American Journal of Economics and Finance, 2014 32 pages, 18 figures, 5 ...
Andrey Itkin
semanticscholar +7 more sources
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
doaj +2 more sources
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
core +4 more sources
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
doaj +2 more sources
A volatility smile-based uncertainty index [PDF]
Annals of Finance, 2021 We propose a new uncertainty index based on the discrepancy of the smile of FX options. We show that our index spikes near turbulent periods, forecasts economic activity and its innovations hold a significant and negative equity premium. Unlike other uncertainty indexes, our index is supported by equilibrium models, which relate the difference of ...
José Valentim Machado Vicente +1 more
openaire +3 more sources
Implied Distribution as a Function of the Volatility Smile [PDF]
SSRN Electronic Journal, 2011 The aim of this paper is to obtain the risk-neutral density of an underlying asset price as a function of its option implied volatility smile. We derive a known closed form non-parametric expression for the density and decompose it into a sum of lognormal and adjustment terms.
Bertrand Tavin
openalex +4 more sources