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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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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Quantum pricing with a smile: implementation of local volatility model on quantum computer [PDF]
EPJ Quantum Technology, 2020 Quantum algorithms for the pricing of financial derivatives have been discussed in recent papers. However, the pricing model discussed in those papers is too simple for practical purposes.
K. Kaneko +3 more
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Short-dated smile under rough volatility: asymptotics and numerics [PDF]
Quantitative finance (Print), 2020 In Friz et al. [Precise asymptotics for robust stochastic volatility models. Ann. Appl. Probab, 2021, 31(2), 896–940], we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to ...
P. Friz, Paul Gassiat, P. Pigato
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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile [PDF]
Journal of Applied Mathematics, 2005 We analyse a model for pricing derivative securities in the presence of both transaction costs as well as the risk from a volatile portfolio. The model is based on the Black-Scholes parabolic PDE in which transaction costs are described following the ...
Martin Jandačka, Daniel Ševčovič
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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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A comparison of fuzzy regression methods for the estimation of the implied volatility smile function [PDF]
Fuzzy Sets Syst., 2015 S. Muzzioli, A. Ruggieri, B. Baets
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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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To sigmoid-based functional description of the volatility smile [PDF]
, 2014 A. Itkin
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