Results 31 to 40 of about 14,628 (253)
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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Investigaciones Europeas de Dirección y Economía de la Empresa, 2015 This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on ...
García-Machado, Juan J. +1 more
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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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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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The Forward Smile in Local-Stochastic Volatility Models [PDF]
SSRN Electronic Journal, 2015 We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets.
MAZZON, ANDREA, PASCUCCI, ANDREA
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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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The asymptotic smile of a multiscaling stochastic volatility model [PDF]
Stochastic Processes and their Applications, 2018 We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear mean reversion.
Caravenna, F, Corbetta, J
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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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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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