Results 21 to 30 of about 237,321 (276)
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
doaj +1 more source
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
doaj +1 more source
On the Curvature of the Smile in Stochastic Volatility Models
SIAM Journal on Financial Mathematics, 2017 The first author was supported by grants ECO2014-59885-P and MTM2016-76420-P (MINECO/FEDER, UE). The second author was supported by CONACyT grant 220303.
Alòs, Elisa, León, Jorge A.
openaire +4 more sources
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
openaire +5 more sources
Constructing volatility surfaces for managed funds [PDF]
, 2014 Includes bibliographical referencesIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014).
Brinkman, Trevor Joseph
core +1 more source
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
doaj +1 more source
Soft Skins With Reversible Thickness Morphing: Materials, Mechanisms, and Applications
Advanced Materials, EarlyView.Evolution of electronic skin (e‐skin) technologies toward adaptive, multifunctional soft skins. Phase I highlights early rigid and discrete sensory interfaces. Phase II shows the transition toward flexible, stretchable, and large‐area e‐skin. Phase III captures the emergence of computational e‐skin.
Oliver Ozioko +2 more
wiley +1 more source
Modelling the implied volatility – A case of EUR/PLN currency options
International Journal of Management and EconomicsImplied volatility, quoted by market makers for Over-the-Counter foreign exchange options, constructs a volatility surface that facilitates the pricing of all vanilla contracts.
Mielus Piotr
doaj +1 more source
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
doaj +1 more source
Closed‐Loop Solid‐State Synthesis Planning for Materials Discovery With Large Language Models
Advanced Materials, EarlyView.Leveraging literature data, we build a large‐language‐model‐driven workflow that extracts synthesis steps from 4407 papers, retrieves similar precedents, and generates candidate solid‐state synthesis recipes. The system benchmarks against ground‐truth and then operates in a closed loop with experiments to synthesize oxy‐selenide electrolyte materials ...
Dong Won Jeon +9 more
wiley +1 more source