Results 11 to 20 of about 22,197 (142)
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model [PDF]
, 2010 Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the ...
B. Dupire +18 more
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Interest Rate Convexity and the Volatility Smile [PDF]
, 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.
Wolfram Boenkost, Wolfgang M. Schmidt
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Do your volatility smiles take care of extreme events? [PDF]
arXiv, 2010 In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is possible to get a new fitting procedure of the volatility
Luca Spadafora +2 more
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Short dated smile under Rough Volatility: asymptotics and numerics [PDF]
arXiv, 2020 In [Precise Asymptotics for Robust Stochastic Volatility Models; Ann. Appl. Probab. 2021] we introduce a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices, using the framework [Bayer et al; A regularity structure for rough ...
Peter K. Friz +2 more
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A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability [PDF]
, 2002 Brownian motion and normal distribution have been widely used, for example, in the Black-Scholes-Merton option pricing framework, to study the return of assets.
Steven Kou
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The Exact Smile of some Local Volatility Models [PDF]
arXiv, 2012 We introduce a new class of local volatility models. Within this framework, we obtain expressions for both (i) the price of any European option and (ii) the induced implied volatility smile. As an illustration of our framework, we perform specific pricing and implied volatility computations for a CEV-like example. Numerical examples are provided.
Matthew Lorig
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Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves [PDF]
arXiv, 2023 Earnings announcements (EADs) are corporate events that provide investors with fundamentally important information. The prospect of stock price rises may also contribute to EADs increased volatility. Using data on extremely short term options, we study that bimodality in the risk neutral distribution and concavity in the IV smiles are ubiquitous ...
Darsh Kachhara +2 more
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Understanding the volatility smile of options markets through microsimulation [PDF]
arXiv, 2007 In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset.
G. Qiu, Drona Kandhai, P.M.A. Sloot
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Asymptotics of forward implied volatility [PDF]
, 2015 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models.
Jacquier, Antoine, Roome, Patrick
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Model-driven statistical arbitrage on LETF option markets [PDF]
Quantitative Finance Quantitative Finance, Volume 19, 2019 - Issue
11, 2020 In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF options.
arxiv +1 more source