Results 81 to 90 of about 22,197 (142)
Learning agents in Black-Scholes financial markets. [PDF]
R Soc Open Sci, 2020 Vaidya T, Murguia C, Piliouras G.
europepmc +1 more source
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results [PDF]
, 2012 Leif B. G. Andersen, Alexander Lipton
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Volatility models in practice: Rough, Path-dependent or Markovian? [PDF]
arXivAn extensive empirical study of the class of Volterra Bergomi models using SPX options data between 2011 and 2022 reveals the following fact-check on two fundamental claims echoed in the rough volatility literature: Do rough volatility models with Hurst index $H \in (0,1/2)$ really capture well SPX implied volatility surface with very few parameters?
arxiv
The vanna-volga method, also called the traders rule of thumb is an empirical procedure that can be used to infer an implied-volatility smile from three available quotes for a given maturity.
Wystup, Uwe
core
The Arbitrage-Free Multivariate Mixture Dynamics Model: Consistent Single-Assets and Index Volatility Smiles [PDF]
, 2013 Damiano Brigo +2 more
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Unlocking the black box: Non-parametric option pricing before and during COVID-19. [PDF]
Ann Oper Res, 2022 Gradojevic N, Kukolj D.
europepmc +1 more source
Crooked volatility smiles: Evidence from leveraged and inverse ETF options [PDF]
, 2013 Geng Deng +3 more
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Modeling volatility smile: Empirical evidence from India [PDF]
, 2013 Vipul Kumar Singh
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A comparison of fuzzy regression methods for the estimation of the implied volatility smile function [PDF]
, 2014 Silvia Muzzioli +2 more
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