Results 31 to 40 of about 265 (142)
Efficient Calibration for Option Pricing via a Physics-Informed Chebyshev Kolmogorov–Arnold Network
MathematicsEfficient 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 +4 more
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Arbitrage-Free Prediction of the Implied Volatility Smile [PDF]
SSRN Electronic Journal, 2014 18 pages, 2 figures; a shorter version of this paper has appeared as a Technical Paper in Risk (30 April 2014) under the title "Smile transformation for price prediction"
Petros Dellaportas +1 more
openaire +3 more sources
MathematicsImplied 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
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Volatility Smile Interpolation Model
, 2022 Options priced by the Black-Scholes formula are quoted on the market by implied volatility. In other words, to price an interest rate European option, one needs to know forward rate, the strike level and volatility along with the discount rate. However, the market trading history has shown that it is not perfect to trade options solely based on the ...
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Price dynamics and volatility jumps in bitcoin options
Financial InnovationIn 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
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Maturity and volatility effects on smiles or dying smiling?
, 2000 The “smile effect” is a result of an empirical observation of the options’ implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security.
Duque, João, Lopes, Patrícia Teixeira
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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 +3 more
europepmc +1 more source