Results 71 to 80 of about 22,197 (142)
Option pricing using EGARCH models [PDF]
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of
Schmitt, Christian
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Quantum Pricing with a Smile: Implementation of Local Volatility Model on Quantum Computer
, 2020 Kazuya Kaneko +3 more
openalex +2 more sources
Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]
The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
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Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Carol Alexandra, Leonardo M. Nogueira
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Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework [PDF]
In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart ...
Anas Benabid +2 more
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GARCH option pricing under skew. [PDF]
This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Aboura, Sofiane
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Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility [PDF]
, 2012 Martin Wallmeier
openalex +1 more source
Catastrophic risks and the pricing of catastrophe equity put options. [PDF]
Comput Manag Sci, 2021 Arnone M +3 more
europepmc +1 more source