Results 241 to 250 of about 598,007 (315)

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.
D. Orrell
openaire   +2 more sources

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.
V. Lucic
openaire   +2 more sources

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
openaire   +2 more sources

A bias in the volatility smile

Review of Derivatives Research, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chance, Don M., Hanson, Thomas A., Li, Weiping, Muthuswamy, Jayaram   +3 more
openaire   +3 more sources

Deconstructing the Volatility Smile

SSRN Electronic Journal, 2014
This paper investigates the relationship between the implied volatility smile and the underlying joint density of two quantities characterizing the stochastic volatility process - namely the mean integrated variance, $\frac{1}{T}\int_0^T\sigma_s^2ds$, and the stochastic integral $\int_0^T\sigma_s dW_{s}^{\sigma}$. A simple form of this joint density is
Romano Trabalzini, William A McGhee
openaire   +2 more sources

Volatility Smile

2008
E. Derman, Michael B. Miller
openaire   +2 more sources

An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs

Jurnal derivate, 2018
An option contract is a zero-sum game, so two identical risk-averse investors would never take opposite sides of it. While they will agree on the correct option price, they would never trade with each other. Heterogeneity is essential for options trading
Shuang Feng, Xiaoling Pu, Yi Zhang
semanticscholar   +1 more source

Catastrophe Risk and the Implied Volatility Smile

Journal of Risk and Insurance, 2018
Property–casualty insurers are exposed to rare but severe natural disasters. This article analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared
Semir Ben Ammar
semanticscholar   +1 more source

Smile‐implied hedging with volatility risk

, 2021
Options 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 ...
Pascal François, Lars Stentoft
semanticscholar   +1 more source

Non-recombining trinomial tree pricing model and calibration for the volatility smile

Journal of Inverse and Ill-Posed Problems, 2018
In this paper, we consider the non-recombining trinomial tree pricing model under the volatility, which is a function of time, establish the option pricing model and give the convergence rates of the non-recombining trinomial tree method. In addition, we
Wenxiu Gong, Zuoliang Xu
semanticscholar   +1 more source