Results 21 to 30 of about 15,273 (231)
Volatility smile as relativistic effect [PDF]
Physica A: Statistical Mechanics and its Applications, 2017 We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales and self-financing hedging strategies and price claims (options). This model is a 1-constant-parameter extension of
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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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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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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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Machine Learning Accelerates Crystallization for Structure Determination
Angewandte Chemie, EarlyView.Single‐crystal X‐ray diffraction (SCXRD) is often constrained by the difficulty of obtaining suitable crystals. Here, a machine learning‐accelerated co‐crystal discovery workflow is established for a crystalline mate strategy that achieves over 95% prediction accuracy and experimentally delivers 114 co‐crystals from 120 candidates.
Cui‐Zhou Luan +10 more
wiley +2 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
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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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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.
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Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
, 2010 Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the ...
B. Dupire +18 more
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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
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