Results 11 to 20 of about 598,007 (315)
Interest Rate Convexity and the Volatility Smile [PDF]
SSRN Electronic Journal, 2009 When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different
Boenkost, Wolfram, Schmidt, Wolfgang M.
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Smiling under stochastic volatility [PDF]
Spanish Economic Review, 2004 This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness.
�ngel Le�n, Gonzalo Rubio
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The Forward Smile in Local-Stochastic Volatility Models
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
Andrea Mazzon, Andrea Pascucci
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Arbitrage-Free Prediction of the Implied Volatility Smile [PDF]
SSRN Electronic Journal, 2014 18 pages, 2 figures; a shorter version of this paper has appeared as a Technical Paper in Risk (30 April 2014) under the title "Smile transformation for price prediction"
Petros Dellaportas +1 more
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Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency
Journal of international financial markets, institutions, and money, 2021 Stéphanie Ligot +2 more
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Smiles & smirks: Volatility and leverage by jumps [PDF]
European Journal of Operational Research, 2022 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ballotta, L., Grégory, R.
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Smile or Smirk? The Liquidity and Volatility
SSRN Electronic Journal, 2022 Chiu-Ming Hsiao
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Journal of Function Spaces, 2021 It has been found that the surface of implied volatility has appeared in financial market embrace volatility “Smile” and volatility “Smirk” through the long-term observation.
Yanli Zhou +3 more
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Model Independent Multi-Asset Volatility Smile with Empirical Confirmation
, 2018 David Gershon
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The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
Mathematics, 2021 In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial ...
Long Teng
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