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From Constant to Rough: A Survey of Continuous Volatility Modeling
Mathematics, 2023 In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts that have driven the field.
Giulia Di Nunno +3 more
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Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism [PDF]
Social Science Research Network, 2019 The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is introduced into LSTM, and a volatility surface prediction
Shengli Chen, Zili Zhang
semanticscholar +1 more source
Review of Derivatives Research, 2020 It is a widely known theoretical derivation, that the firm’s leverage is negatively related to volatility of stock returns, although the empirical evidence is still outstanding. To empirically evaluate the leverage we first complement previous simulation
A. Rathgeber, J. Stadler, S. Stöckl
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Option Pricing with Fractional Stochastic Volatilities and Jumps
Fractal and Fractional, 2023 Empirical studies suggest that asset price fluctuations exhibit “long memory”, “volatility smile”, “volatility clustering” and asset prices present “jump”.
Sumei Zhang, Hongquan Yong, Haiyang Xiao
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Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Journal of Finance and Data Science, 2021 The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty.
Daniel Guterding
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Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging
Mathematics, 2021 In this paper, we conduct a fast calibration in the jump-diffusion model to capture the Bitcoin price dynamics, as well as the behavior of some components affecting the price itself, such as the risk of pitfalls and its ambiguous effect on the evolution ...
Kuo-Shing Chen, Yu-Chuan Huang
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Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model
Complexity, 2020 Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility.
Guohe Deng
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Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
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Financial market disruption and investor awareness: the case of implied volatility skew
Quantitative Finance and Economics, 2022 The crash of 1987 is considered one of the most significant events in the history of financial markets due to the severity and swiftness of market declines worldwide.
Hammad Siddiqi
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Investigaciones Europeas de Dirección y Economía de la Empresa, 2015 This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on ...
García-Machado, Juan J. +1 more
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