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What determines volatility smile in China?
, 2020Pengshi Li, Aichuan Xian, Yan Lin
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The smile of stochastic volatility: Revisiting the Bergomi-Guyon expansion
Social Science Research Network, 2021Julien Guyon
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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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Cash Mergers and the Volatility Smile
, 2017Alan Bester, V. Martinez, Ioanid Roşu
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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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Volatility smile and one-month foreign currency volatility forecasts
, 2017Alfred H.S. Wong, R. Heaney
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A simple efficient approximation to price basket stock options with volatility smile
, 2017P. Wu, R. Elliott
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