Results 1 to 10 of about 15,501 (246)

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

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   +3 more sources

Arbitrage-free prediction of the implied volatility smile [PDF]

, 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.
Πέτρος Δελλαπόρτας, Aleksandar Mijatović   +1 more
openalex   +5 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   +1 more source

The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach

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, Shican Liu, Shuang Li, Xiangyu Ge   +3 more
doaj   +1 more source

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
doaj   +1 more source

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, Kęstutis Kubilius, Yuliya Mishura, Anton Yurchenko-Tytarenko   +3 more
doaj   +1 more source

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
doaj   +1 more source

Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Complexity, 2020
Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility.
Guohe Deng
doaj   +1 more source

Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning

Journal of Finance and Data Science, 2021
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
doaj   +1 more source