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Approaches to forecasing option volatility
Вестник Российского экономического университета имени Г. В. Плеханова, 2018 The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change ...
A. V. Azatskiy
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Extension of SABR Libor Market Model to handle negative interest rates
Quantitative Finance and Economics, 2020 Variations of Libor Market Model (LMM), including Constant Elasticity of Variance-LMM (CEV-LMM) and Stochastic Alpha-Beta-Rho LMM (SABR-LMM), have become popular for modeling interest rate term structure.
Jie Xiong, Geng Deng, Xindong Wang
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes
Journal of Function Spaces, 2019 In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu +3 more
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A volatility smile-based uncertainty index [PDF]
Annals of Finance, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
José Valentim Machado Vicente +1 more
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Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Risks, 2016 The application of stochastic volatility (SV) models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters.
Ying Wang +2 more
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Realizing Smiles: Options Pricing with Realized Volatility [PDF]
SSRN Electronic Journal, 2011 We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data.
CORSI, Fulvio +2 more
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A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
Fractal and Fractional, 2017 In the option pricing literature, it is well known that (i) the decrease in the smile amplitude is much slower than the standard stochastic volatility models and (ii) the term structure of the at-the-money volatility skew is approximated by a power-law ...
Hideharu Funahashi, Masaaki Kijima
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PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI
Media Statistika, 2018 The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in finance as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer company are significantly
Abdurakhman Abdurakhman +1 more
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Interest Rate Convexity and the Volatility Smile [PDF]
SSRN Electronic Journal, 2009 When pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different
Boenkost, Wolfram, Schmidt, Wolfgang M.
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Interpretability in deep learning for finance: A case study for the Heston model
Risk SciencesDeep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes, and this introduces risks, hindering validation and accountability processes.
Damiano Brigo +3 more
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