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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 volatility smile.
Dimitri Reiswich, Uwe Wystup
core +7 more sources
Arbitrage-Free Prediction of the Implied Volatility Smile [PDF]
SSRN Electronic Journal, 2014 18 pages, 2 figures; a shorter version of this paper has appeared as a Technical Paper in Risk (30 April 2014) under the title "Smile transformation for price prediction"
Πέτρος Δελλαπόρτας +1 more
core +11 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
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
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.
Kazuya Kaneko +3 more
openalex +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
On the Hull-White model with volatility smile for Valuation Adjustments [PDF]
Quantitative finance (Print)Affine Diffusion dynamics are frequently used for Valuation Adjustments (xVA) calculations due to their analytic tractability. However, these models cannot capture the market-implied skew and smile, which are relevant when computing xVA metrics.
T. van der Zwaard +2 more
semanticscholar +3 more sources