Results 11 to 20 of about 591,994 (216)
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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Quanto Implied Volatility Smile
, 2014 Alessandro Cesarini, Stefano Giovannitti
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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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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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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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Quantum pricing with a smile: implementation of local volatility model on quantum computer [PDF]
EPJ Quantum Technology, 2020 Quantum algorithms for the pricing of financial derivatives have been discussed in recent papers. However, the pricing model discussed in those papers is too simple for practical purposes.
K. Kaneko +3 more
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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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