Results 31 to 40 of about 591,994 (216)

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

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, E. Derman, F. Black, F. Borgonovi, G. Brown, G. P. Berman, J. Campa, J. Jackwerth, J.C. Jackwerth, K. Toft, L. Spadafora, M. Rubinstein, M.R. Fengler, N. Kahale, P. Gopikrishnan, R. Tompkins, T. Herwing, V.F. Pisarenko, Y. Ait-Sahalia   +18 more
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Arbitrage-free prediction of the implied volatility smile [PDF]

, 2014
This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros, Mijatović, Aleksandar   +1 more
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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.
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Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market [PDF]

, 2010
In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power.
Bessembinder, Black, Branger, Carr, Cerny, Chacko, Clewlow, Dai, Das, Duffie, Elliott, Escribano, Ethier, Geman, Geman, Glasserman, Heston, Huisman, Longstaff, Lucia, Merton, Merton, Nikos K. Nomikos, Nomikos, Orestes A. Soldatos, Rebonato, Samuleson, Schwartz, Vasicek, Villaplana, Weron   +30 more
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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

Option Valuation under Stochastic Volatility [PDF]

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided.
Alan L. Lewis, Alan L. Lewis
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On refined volatility smile expansion in the Heston model [PDF]

, 2010
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s_+$ can be obtained by solving (numerically) a simple equation.
Friz, P., Gerhold, S., Gulisashvili, A., Sturm, S.   +3 more
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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

Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model [PDF]

This paper extends the normal mixture diffusion (NMD) local volatility model of Brigo and Mercurio (2000, 2001a,b, 2002) so that it explains both short-term and long-term smile effects.
Carol Alexander
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