Results 61 to 70 of about 592,058 (280)

Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? [PDF]

Using more than two years of daily interest rate cap price data, this paper provides a systematic documentation of a volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a sneer ...
Feng Zhao, Haitao Li, Robert Jarrow
core  

Testing Option Pricing with the Edgeworth Expansion

, 2004
There is a well developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options.
Black, Borland, Borland, Bouchaud, Bouchaud, Bouchaud, Hall, Jarrow, Johnson, Rogerio Rosenfeld, Ruy Gabriel Balieiro Filho   +10 more
core   +1 more source

Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism [PDF]

, 2022
Shengli Chen, Zili Zhang
openalex   +1 more source

Incorporating a Volatility Smile into the Markov-Functional Model [PDF]

, 2022
Feijia Wang
openalex   +1 more source

Breaking Barriers: Exploring Patient Satisfaction With the U.S. Healthcare System Among Iranian and Afghan Immigrants With Limited English Proficiency

Health Services Research, EarlyView.
ABSTRACT Objective To explore the satisfaction of limited English proficiency (LEP) Farsi‐ and Dari‐speaking patients with the U.S. healthcare system using a qualitative approach. Study Setting and Design We employed a grounded theory approach to analyze qualitative data collected from five focus groups involving 25 Farsi‐ and Dari‐speaking immigrants ...
Sara Imanpour, Rifat Sultana, Victoria Williams   +2 more
wiley   +1 more source

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

Price dynamics and volatility jumps in bitcoin options

Financial Innovation
In 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
doaj   +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  

“We All Live in One World”: Challenging Settler Mythologies With Sovereign Assertions

Anthropology &Education Quarterly, EarlyView.
ABSTRACT The paper examines how settler colonial myths perpetuate systemic inequities in the education of Native students in Southern Utah. It critiques the “two‐worlds” narrative used to justify marginalization and explores how Native parents use sovereign assertions to challenge these injustices.
Cynthia Benally, Donna Deyhle, Beth King
wiley   +1 more source