Results 181 to 190 of about 15,207 (237)

Fast adaptation to rule switching using neuronal surprise. [PDF]

PLoS Comput Biol
Barry MLLR, Gerstner W.
europepmc   +1 more source

Method for predicting dynamic current-carrying capacity of transmission lines by integrating improved VMD and time-varying ensemble model. [PDF]

PLoS One
Yang S, Hao W.
europepmc   +1 more source

Antibacterial, antibiofilm and cytotoxic activity of synthesized metal-incorporated mesoporous silica nanoparticles. [PDF]

AMB Express
Shehata S, Elkholy YN, Hussien MSA, Yahia IS, Aboshanab KM.   +4 more
europepmc   +1 more source

Towards automated inclusion of autoxidation chemistry in models: from precursors to atmospheric implications.

Environ Sci Atmos
Pichelstorfer L, Roldin P, Rissanen M, Hyttinen N, Garmash O, Xavier C, Zhou P, Clusius P, Foreback B, Golin Almeida T, Deng C, Baykara M, Kurten T, Boy M.   +13 more
europepmc   +1 more source

A smile to implied volatility

, 2008
openaire   +1 more source

Some of the next articles are maybe not open access.

Related searches:

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

VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

International Journal of Theoretical and Applied Finance, 2022
The Radial Basis Functions (RBF) interpolation is a popular approximation technique used to smooth scattered data in various dimensions. This study uses RBF interpolation to interpolate the volatility skew of the S&P500 index options. The interpolated skews are used to construct the risk-neutral densities of the index and its local volatility ...
HERMANN AZEMTSA DONFACK, CELESTIN WAFO SOH, ANTONIE KOTZE   +2 more
openaire   +2 more sources

Quanto Implied Volatility Smile

SSRN Electronic Journal, 2014
We propose a numerical procedure, addressed as copula integration method, to calculate quanto implied volatility adjustments. The method consists in a direct integration of the quanto vanilla payoff, using the bivariate terminal probability distribution of the asset and the relevant foreign exchange rate. The bivariate terminal distribution is obtained
Alessandro Cesarini, Stefano Giovannitti
openaire   +1 more source

Oil futures volatility smiles in 2020: Why the bachelier smile is flatter

Review of Derivatives Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roza Galeeva, Ehud Ronn
openaire   +1 more source

VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE

International Journal of Theoretical and Applied Finance, 2002
The aim of this paper is to propose several algorithms for finding the local volatility from partial observations of the price of an European vanilla option. Dupire's equation is used. The local volatility and the price of the option are discretized by finite elements with highly non uniform meshes and with a coarser mesh for the local volatility. The
Achdou, Yves, Pironneau, Olivier
openaire   +1 more source