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
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
openaire +2 more sources
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
Targeting the noradrenergic‐metabolic axis: A new strategy for sugar‐induced depression subtypes
British Journal of Pharmacology, EarlyView.Abstract Background and Purpose Lifestyle is closely related to major depressive disorder (MDD). Given the growing focus on the impact of diet on mental health, this study examined how dietary habits affect the pathophysiology of MDD. Experimental Approach Health check‐up data were analysed. Mice received sucrose under chronic unpredictable mild stress
Takatoshi Sakata +13 more
wiley +1 more source
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
Children &Society, EarlyView.ABSTRACT The current study explores conversations fathers and nurses at Swedish Child Health Centres. Video‐ethnographic methods allow for the analysis of naturally occurring interaction and the analysis focuses on how the participants address fathers' accounts of inadequacy and being secondary to the mother in terms of being able to provide care and ...
Henning Årman +3 more
wiley +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
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
Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics\n and Volatility Smiles [PDF]
, 2017 Tushar Vaidya +2 more
openalex +1 more source
On cross-currency models with stochastic volatility and correlated interest rates [PDF]
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We frst deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates ...
Grzelak, Lech, Oosterlee, Kees
core +1 more source