Results 11 to 20 of about 231 (95)
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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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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Volatility smile at the Russian option market
Journal of Business Economics and Management, 2006 The main derivative exchange in Russia is FORTS (Futures and Options in RTS) which is a division of Russian Trade System (RTS). The underlying assets of option contracts are futures on Russian companies’ shares: OJSC “EES"1, OJPC “Lukoil"2 and OJSC ...
D. Golembiovsky, I. Baryshnikov
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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
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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 +3 more
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Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Risks, 2016 The application of stochastic volatility (SV) models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters.
Ying Wang +2 more
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A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional, 2017 In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law ...
Hideharu Funahashi, Masaaki Kijima
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PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI
Media Statistika, 2018 The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in finance as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer company are significantly
Abdurakhman Abdurakhman +1 more
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Interpretability in deep learning for finance: A case study for the Heston model
Risk SciencesDeep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes, and this introduces risks, hindering validation and accountability processes.
Damiano Brigo +3 more
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Modelling the implied volatility – A case of EUR/PLN currency options
International Journal of Management and EconomicsImplied volatility, quoted by market makers for Over-the-Counter foreign exchange options, constructs a volatility surface that facilitates the pricing of all vanilla contracts.
Mielus Piotr
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