Results 191 to 200 of about 15,273 (231)
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Quanto Implied Volatility Smile
SSRN Electronic Journal, 2014We propose a numerical procedure, addressed as copula integration method, to calculate quanto implied volatility adjustments. The method consists in a direct integration of the quanto vanilla payoff, using the bivariate terminal probability distribution of the asset and the relevant foreign exchange rate. The bivariate terminal distribution is obtained
Alessandro Cesarini, Stefano Giovannitti
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Normalizing volatility transforms and general parameterization of volatility smile
SSRN Electronic Journal, 2021We provide an alternative proof of monotonicity of normalizing volatility transforms (NVTs) due to Fukasawa (2012), and then obtain a general formula for volatility surface for which the NVTs are increasing. This is used to obtain several results related to butterfly arbitrage and asymptotic behavior of implied volatility for large strikes.
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Smile‐implied hedging with volatility risk
Journal of Futures Markets, 2021Pascal François, Lars Stentoft
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Whose sentiment explains implied volatility change and smile?
Finance Research Letters, 2023DooJin Ryu, Doowon Ryu, Heejin Yang
exaly
Smile dynamics, rough volatility, volatility with memory
Dynamique du smile, modèles à volatilité rough, volatilité avec mémoire Dans cette thèse, nous abordons la question des propriétés statiques et dynamiques des surfaces de volatilité implicite sur les marches d’indices sur actions. Dans la première partie,nous nous focalisons sur la structure par terme du skew à la monnaie (ATM).openaire +1 more source
2008
In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see,
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In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see,
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Option Valuation and the Volatility Smile
2009In this chapter, we briefly present the basic concepts of option pricing theory. The readers who are familiar with these topics, can skip this chapter and begin with the next chapter directly. A Brownian motion is an elemental building-block in modeling the dynamics of stock returns, and correspondingly the geometric Brownian motion as an exponential ...
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Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
Journal of Futures Markets, 2023Sudarshan Kumar +2 more
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