Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach [PDF]
In this paper we estimated a volatility model for COP/US under two different samples, one containing the information before the “discretional interventions” started, and the other using the whole sample.
Héctor Manuel Zárate +2 more
core
Asymptotic behaviour of the fractional Heston model [PDF]
arXiv, 2014 We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of ...
arxiv
FX volatility smile construction [PDF]
, 2009 The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied ...
Reiswich, Dimitri, Wystup, Uwe
core
Asymptotics of forward implied volatility [PDF]
arXiv, 2012 We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward ...
arxiv
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
Implied volatility estimation of bitcoin options and the stylized facts of option pricing. [PDF]
Financ Innov, 2021 Zulfiqar N, Gulzar S.
europepmc +1 more source
Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility [PDF]
Starting from the European option valuation framework of Chauveau & Gatfaoui (2002), we establish the link with stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light of ...
Chauveau Thierry, Gatfaoui Hayette
core
Large deviations for the extended Heston model: the large-time case
, 2013 We study here the large-time behaviour of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile.
Jacquier, A, Mijatovic, A
core +1 more source
Distributions Implied by Exchange Traded Options: A Ghost’s Smile? [PDF]
A new and easily applicable method for estimating risk neutral distributions (RND) implied by American futures options is proposed. It amounts to inverting the Barone-Adesi and Whaley method (1987) (BAW method) to get the BAW-implied volatility smile ...
Martin Cincibuch
core