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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,
openaire +1 more source
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,
openaire +1 more source
Whose sentiment explains implied volatility change and smile?
Finance Research Letters, 2023Doojin Ryu, Heejin Yang, Doowon Ryu
exaly
Volatility Smile and Delta Hedging
2014The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure.
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Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
Journal of Futures Markets, 2023Sobhesh Agarwalla, Sudarshan Kumar
exaly