Results 51 to 60 of about 22,197 (142)
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
, 2018 The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula ...
Brigo, Damiano +2 more
core +1 more source
The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation [PDF]
Related publication in Brigo, D., Mercurio, F., and Sartorelli,
G., Alternative Asset Price Dynamics and Volatility Smile, Quantitative
Finance, Vol 3, N. 3. (2003) pp. 173-183, 2008 In the present paper, given an evolving mixture of probability densities, we define a candidate diffusion process whose marginal law follows the same evolution. We derive as a particular case a stochastic differential equation (SDE) admitting a unique strong solution and whose density evolves as a mixture of Gaussian densities.
arxiv
EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS [PDF]
In this study we aim at analyzing the way the model Black-Scholes works in practice. The data used for analysis refer to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in two parts.
Armeanu, Dan, Vasile, Emilia
core
The impact of COVID-19 on tail risk: Evidence from Nifty index options. [PDF]
Econ Lett, 2021 Agarwalla SK, Varma JR, Virmani V.
europepmc +1 more source
We explain the valuation and correlation hedging of Foreign Exchange Basket Options in a multi-dimensional Black-Scholes model that allows including the smile.
Hakala, Jürgen, Wystup, Uwe
core
Large deviations for the extended Heston model: the large-time case [PDF]
arXiv, 2012 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. Based on refinements of the Gartner-Ellis theorem on the real line, our proof reveals pathological behaviours of the asymptotic smile.
arxiv
Option Pricing Formulas based on a non-Gaussian Stock Price Model
, 2002 Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$.
B. Oksendal +13 more
core +3 more sources
An important purpose of derivatives modelling is to provide practitioners with actionable measures of risk. The Black and Scholes volatility remains a favourite on trading floors in spite of well-known biases.
Carey, Alexander
core +1 more source
Real-world options: smile and residual risk [PDF]
Risk 9 3, 61-65, March 1996, 1995 We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk associated with optimal (but imperfect) hedging.
arxiv