Results 1 to 10 of about 569,790 (223)
Short dated smile under Rough Volatility: asymptotics and numerics [PDF]
arXiv, 2020 In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices, using the framework [Bayer et al; A regularity structure for rough ...
Peter K. Friz +2 more
arxiv +5 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
Saddle-Point Approach to Large-Time Volatility Smile [PDF]
arXiv, 2022 We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function fulfills a L\'evy-type scaling behavior in large time, the approach allows us to study analytically the large-time ...
Chun Yat Yeung, Ali Hirsa
arxiv +5 more sources
Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism [PDF]
arXiv, 2019 The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is introduced into LSTM, and a volatility surface prediction method combining deep learning and attention mechanism is pioneeringly established.
Shengli Chen, Zili Zhang
arxiv +3 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
Do your volatility smiles take care of extreme events? [PDF]
arXiv, 2010 In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is possible to get a new fitting procedure of the volatility
Luca Spadafora +2 more
arxiv +3 more sources
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model [PDF]
, 2010 Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns.
B. Dupire +18 more
arxiv +4 more sources
FX Volatility Smile Construction [PDF]
, 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 ...
Dimitri Reiswich, Uwe Wystup
openalex +4 more sources
The Exact Smile of some Local Volatility Models [PDF]
arXiv, 2012 We introduce a new class of local volatility models. Within this framework, we obtain expressions for both (i) the price of any European option and (ii) the induced implied volatility smile. As an illustration of our framework, we perform specific pricing and implied volatility computations for a CEV-like example. Numerical examples are provided.
Matthew Lorig
arxiv +3 more sources
Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves [PDF]
arXiv, 2023 Earnings announcements (EADs) are corporate events that provide investors with fundamentally important information. The prospect of stock price rises may also contribute to EADs increased volatility. Using data on extremely short term options, we study that bimodality in the risk neutral distribution and concavity in the IV smiles are ubiquitous ...
Darsh Kachhara +2 more
arxiv +3 more sources