Results 21 to 30 of about 22,197 (142)
Maturity and volatility effects on UK smiles or dying smiling? [PDF]
, 2003 The “smile effect” is a result of an empirical observation of the options’ implied volatility with the same expiration date, across different exercise prices.
Duque, João L.C. +1 more
core +1 more source
From characteristic functions to implied volatility expansions [PDF]
, 2014 For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials in the log ...
Jacquier, Antoine, Lorig, Matthew
core +1 more source
Asymptotics of forward implied volatility [PDF]
, 2016 We study asymptotics of forward-start option prices and the forward implied volatility smile using the theory of sharp large deviations (and refinements).
Roome, Patrick
core +1 more source
No-Arbitrage Deep Calibration for Volatility Smile and Skewness [PDF]
arXiv, 2023 Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors, including limited input data, low liquidity, and noise.
arxiv
Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility [PDF]
arXiv, 2023 Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly known copulas. A finite order multivariate Hermite polynomial expansion, as an approximation of a joint density function, can handle complex correlation structures.
arxiv
A market model for stochastic smile: a conditional density approach [PDF]
, 2005 The purpose of this paper is to introduce a new approach that allows to construct no-arbitrage market models of for implied volatility surfaces (in other words, stochastic smile models).
Zilber, A.
core +2 more sources
Effect of Volatility Clustering on Indifference Pricing of Options by Convex Risk Measures [PDF]
, 2015 In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015).
arxiv +1 more source
Incorporating a Volatility Smile into the Markov-Functional Model [PDF]
arXiv, 2014 We study a Markov-Functional (MF) interest-rate model with Uncertain Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with the volatility-smile phenomenon observed in the option market. We first check the impact of pricing Bermudan swaptions by the model. Next, we also investigate the future smiles implied by the MF models and
arxiv
Vanna-Volga Method for Normal Volatilities [PDF]
arXiv, 2018 Vanna-Volga is a popular method for the interpolation/extrapolation of volatility smiles. The technique is widely used in the FX markets context, due to its ability to consistently construct the entire Lognormal smile using only three Lognormal market quotes. However, the derivation of the Vanna-Volga method itself is free of distributional assumptions.
arxiv
Local Stochastic Volatility—The Hyp-Hyp Model [PDF]
, 2021 Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally model the skew.
Cowen, Nicholas
core +1 more source