Results 181 to 190 of about 15,273 (231)
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A bias in the volatility smile
Review of Derivatives Research, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chance, Don M. +3 more
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Keep on Smiling: Market Imbalance, Option Pricing, and the Volatility Smile
SSRN Electronic Journal, 2022This article argues that the volatility smile is real in the sense that volatility and price change are correlated through the degree of market imbalance.
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VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
International Journal of Theoretical and Applied Finance, 2002The 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
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Oil futures volatility smiles in 2020: Why the bachelier smile is flatter
Review of Derivatives Research, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roza Galeeva, Ehud Ronn
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VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
International Journal of Theoretical and Applied Finance, 2022The 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 +2 more
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SSRN Electronic Journal, 2001
The paper assumes that the implied volatility of options with some given expiration is a quadratic function of the moneyness. The coefficients of this quadratic function (the smile) are time dependent and stochastic. The paper derives exposure parameters of the price of the option to the local change in each of the smile coefficients, and an ...
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The paper assumes that the implied volatility of options with some given expiration is a quadratic function of the moneyness. The coefficients of this quadratic function (the smile) are time dependent and stochastic. The paper derives exposure parameters of the price of the option to the local change in each of the smile coefficients, and an ...
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Smiling for the Delayed Volatility Swap
SSRN Electronic Journal, 2011Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the paper is two-fold: application of change of time method to the delayed Heston model and ...
Anatoliy V. Swishchuk, Nelson Vadori
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The Smile in Stochastic Volatility Models
SSRN Electronic Journal, 2011We consider general stochastic volatility models with no local volatility component and derive the general expression of the volatility smile at order two in volatility-of-volatility. We show how, at this order, the smile only depends on three dimensionless numbers whose precise expressions as functionals of the model's spot/variance and variance ...
Lorenzo Bergomi, Julien Guyon
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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Investors' Heterogeneity and Implied Volatility Smiles
Management Science, 2012Heterogeneity in beliefs and time preferences among investors make stock volatility stochastic, even though the volatility of the underlying dividend is constant. Prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas.
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