Results 201 to 210 of about 777 (249)

Quanto Implied Volatility Smile

SSRN Electronic Journal, 2014
We 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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Oil futures volatility smiles in 2020: Why the bachelier smile is flatter

Review of Derivatives Research, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roza Galeeva, Ehud Ronn
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VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE

International Journal of Theoretical and Applied Finance, 2002
The aim of this paper is to propose several algorithms for finding the local volatility from partial observations of the price of an European vanilla option. Dupire's equation is used. The local volatility and the price of the option are discretized by finite elements with highly non uniform meshes and with a coarser mesh for the local volatility. The
Achdou, Yves, Pironneau, Olivier
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What determines volatility smile in China?

Economic Modelling, 2021
Abstract The implied volatility for 50 ETF options in China shows a significant smile pattern across different moneyness. Call and put options on 50 ETFs transacted from February 2015 to December 2018 are obtained. Regression and vector autoregression analyses are employed to investigate the structural relationship between the volatility smile and ...
Pengshi Li, Aichuan Xian, Yan Lin
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Smile‐implied hedging with volatility risk

Journal of Futures Markets, 2021
AbstractOptions can be dynamically replicated using model‐free Greeks extracted from the volatility smile. However, smile‐implied delta and delta–gamma hedging do not achieve minimum variance in the presence of price–volatility correlation, and these strategies have shown poor performance relative to the Black–Scholes (BS) benchmark.
Pascal François, Lars Stentoft
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Stochastic volatility, smile & asymptotics

Applied Mathematical Finance, 1999
We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional approaches, such as that of Hull and White, have been successful in accounting for the much observed smile curve, and the success of a large class of such models in this respect is guaranteed by a theorem of Renault and Touzi, for which ...
K. Ronnie Sircar, George C. Papanicolaou
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Keep on Smiling: Market Imbalance, Option Pricing, and the Volatility Smile

SSRN Electronic Journal, 2022
This article argues that the volatility smile is real in the sense that volatility and price change are correlated through the degree of market imbalance.
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Normalizing volatility transforms and general parameterization of volatility smile

SSRN Electronic Journal, 2021
We 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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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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Volatility Smile and One‐Month Foreign Currency Volatility Forecasts

Journal of Futures Markets, 2016
We find knowledge of the volatility smile implied from foreign exchange options improves foreign exchange volatility forecast accuracy. The literature shows curvature of the smile can be captured by risk‐neutral skewness and risk‐neutral kurtosis and we find inclusion of these variables in forecast models improves volatility forecast accuracy. Further,
Alfred Huah‐Syn Wong, Richard A. Heaney   +1 more
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