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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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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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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Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism [PDF]
Social Science Research Network, 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
Shengli Chen, Zili Zhang
semanticscholar +4 more sources
MERTON JUMP-DIFFUSION MODEL VERSUS THE BLACK AND SCHOLES APPROACH FOR THE LOG-RETURNS AND VOLATILITY SMILE FITTING [PDF]
, 2016 In the present paper we perform a comparison between the standard Black and Scholes model and the Merton jump-diffusion one, from the point of view of the study of the leptokurtic feature of log-returns and also concerning the volatility smile fitting ...
N. Gugole
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Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency
Journal of international financial markets, institutions, and money, 2021 Stéphanie Ligot +2 more
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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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Model Independent Multi-Asset Volatility Smile with Empirical Confirmation
, 2018 David Gershon
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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 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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