Narrow search
Showing 1 - 10 of 24,206
Cover Image
Implied volatility estimation of bitcoin options and the stylized facts of option pricing
Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30
trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …
Persistent link: https://www.econbiz.de/10012617423
Cover Image
Endogenous option pricing
Gamba, Andrea; Saretto, Alessio - 2022
Persistent link: https://www.econbiz.de/10013170529
Cover Image
The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng - 2020
We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...
Persistent link: https://www.econbiz.de/10012847745
Cover Image
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Cover Image
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Cover Image
Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
Cover Image
Delta hedging bitcoin options with a smile
Alexander, Carol; Imeraj, Arben - In: Quantitative finance 23 (2023) 5, pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Cover Image
American put options with regime-switching volatility
Jang, Bong-Gyu; Koo, Hyeng-keun - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 86-115
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the … consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish … that the optimal exercise boundary is lower in highvolatility regimes than in low-volatility regimes. Additionally, we …
Persistent link: https://www.econbiz.de/10015054085
Cover Image
Options with extreme strikes
Zhu, Lingjiong - In: Risks : open access journal 3 (2015) 3, pp. 234-249
In this short paper, we study the asymptotics for the price of call options for very large strikes and put options for very small strikes. The stock price is assumed to follow the Black-Scholes models. We analyze European, Asian, American, Parisian and perpetual options and conclude that the...
Persistent link: https://www.econbiz.de/10011300319
Cover Image
MaMaMoMaMa : BTC Options
Madan, Dilip B. - 2018
In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the...
Persistent link: https://www.econbiz.de/10012911038