Results 11 to 20 of about 15,192 (232)

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
doaj   +1 more source

From volatility smiles to the volatility of volatility [PDF]

Decisions in Economics and Finance, 2019
The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Dumas B., Luciano E.
openaire   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

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
core   +1 more source

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
doaj   +1 more source

A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model

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
doaj   +1 more source

THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011

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., Rybczyński, Jarosław   +1 more
doaj   +1 more source

Approaches to forecasing option volatility

Вестник Российского экономического университета имени Г. В. Плеханова, 2018
The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change ...
A. V. Azatskiy
doaj   +1 more source

Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes

Journal of Function Spaces, 2019
In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
doaj   +1 more source