Results 21 to 30 of about 231 (95)

On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

Journal of Applied Mathematics, 2005
We analyse a model for pricing derivative securities in the presence of both transaction costs as well as the risk from a volatile portfolio. The model is based on the Black-Scholes parabolic PDE in which transaction costs are described following the ...
Martin Jandačka, Daniel Ševčovič
doaj   +1 more source

Asymmetric Uncertainty Around Earnings Announcements: Evidence from Options Markets

American Business Review
We use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically ...
Sumit Saurav, Sobhesh Kumar Agarwalla, Jayanth R. Varma   +2 more
doaj   +1 more source

Efficient Calibration for Option Pricing via a Physics-Informed Chebyshev Kolmogorov–Arnold Network

Mathematics
Efficient calibration is essential for the practical application of option pricing models. The Fractional Stochastic Volatility Jump Diffusion (FVSJ) model can reproduce several stylized features observed in option markets, including the volatility smile,
Sumei Zhang, Tianci Wu, Haiyang Xiao, Yi Gong, Weihong Xu   +4 more
doaj   +1 more source

Modeling Implied Volatility Surface Using B-Splines with Time-Dependent Coefficients Predicted by Tree-Based Machine Learning Methods

Mathematics
Implied volatility is known to have a string structure (smile curve) for a given time to maturity and can be captured by the B-spline. The parameters characterizing the curves can change over time, which complicates the modeling of the implied volatility
Zihao Chen, Yuyang Li, Cindy Long Yu
doaj   +1 more source

European option pricing under a MSBfBM-Vasicek model: Empirical analysis from the SSE 300ETF and 50ETF of China

International Review of Economics & Finance
As a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang, Guitian He, Yinyan Gan, Juncong Lai   +3 more
doaj   +1 more source

Price dynamics and volatility jumps in bitcoin options

Financial Innovation
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives.
Kuo Shing Chen, J. Jimmy Yang
doaj   +1 more source

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities. [PDF]

Rev Deriv Res (Dordr), 2022
Muck M.
europepmc   +1 more source

Analysis of parametric and non-parametric option pricing models. [PDF]

Heliyon, 2022
Luo Q, Jia Z, Li H, Wu Y.
europepmc   +1 more source

A dynamic perspective on depressive symptoms during the first year postpartum. [PDF]

J Psychopathol Clin Sci, 2023
Winstone-Weide LK, Somers JA, Curci SG, Luecken LJ.   +3 more
europepmc   +1 more source