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Stochastic Volatility and the Volatility Smile

, 2008
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Web-Based Group Photovoice Through the Lens of Survivors of Critical Illness Recovery: Photovoice Qualitative Pilot Study. [PDF]

JMIR Form Res
Howard AF, Lynch K, David A, Haridas R, Currie LM, Thorne S, Haljan G.   +6 more
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The impact of global value chains embeddedness on the carbon emission efficiency of manufacturing firms. [PDF]

Carbon Balance Manag
Shi Y, Yang S.
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An Active-Inference Approach to Second-Person Neuroscience. [PDF]

Perspect Psychol Sci
Lehmann K, Bolis D, Friston KJ, Schilbach L, Ramstead MJD, Kanske P.   +5 more
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Exploring ambivalence: A psychoanalytic analysis of emotional complexity in selected Amharic novels. [PDF]

PLoS One
Dibekulu D, Dagnew T, G/Meskel T.
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Reward design and hyperparameter tuning for generalizable deep reinforcement learning agents in autonomous racing. [PDF]

Sci Rep
Kunda NSS, Kc P, Pandey M, Kumaar AAN.
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After the Smoke Clears: Wildland-Urban Interface Fires and Residues in Nearby Homes. [PDF]

Environ Health Perspect
Averett N.
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Fast adaptation to rule switching using neuronal surprise. [PDF]

PLoS Comput Biol
Barry MLLR, Gerstner W.
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Volatility Smile

2008
Jin-Chuan Duan
exaly   +2 more sources

Deconstructing the Volatility Smile

SSRN Electronic Journal, 2014
This paper investigates the relationship between the implied volatility smile and the underlying joint density of two quantities characterizing the stochastic volatility process - namely the mean integrated variance, $\frac{1}{T}\int_0^T\sigma_s^2ds$, and the stochastic integral $\int_0^T\sigma_s dW_{s}^{\sigma}$. A simple form of this joint density is
Romano Trabalzini, William A McGhee
openaire   +1 more source