Results 121 to 130 of about 265 (142)
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Volatility Smile and Delta Hedging
2014The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure.
openaire +1 more source
Do it with a smile: Forecasting volatility with currency options
Finance Research Letters, 2020Lorenzo Reus +1 more
exaly
Do Aussie markets smile? Implied volatility functions and determinants
Applied Economics, 2015Michael Joseph Dempsey
exaly
Modeling volatility smile: Empirical evidence from India
Journal of Derivatives and Hedge Funds, 2013Vipul Kumar Singh, Singh Vipul Kumar
exaly
Implied non-recombining trees and calibration for the volatility smile
Quantitative Finance, 2007Spiros Martzoukos, Nicos Christofides
exaly
Jump risk, stock returns, and slope of implied volatility smile
Journal of Financial Economics, 2011exaly
Smoothing the volatility smile using the Corrado-Su model
International Journal of Financial Markets and Derivatives, 2015Vinicius Mothe Maia +2 more
exaly