Showing 1 - 10 of 38
option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find … implied volatility surface. To overcome this problem Carr and Madan (1999) developed a fast method to compute option prices …
Persistent link: https://www.econbiz.de/10005862326
, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …
Persistent link: https://www.econbiz.de/10005860517
A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...
Persistent link: https://www.econbiz.de/10005861316
lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from … allows calculation of future volatility and can be applied to hedging exotic options. …
Persistent link: https://www.econbiz.de/10005862107
Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain … yield low dimensional representations of the implied volatility surface (IVS). We discussestimation issues of the model and …
Persistent link: https://www.econbiz.de/10005862106
implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …
Persistent link: https://www.econbiz.de/10005862325
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10005860527
method in volatility estimation and risk management given simulated and real data. Numerical results show the proposed method …
Persistent link: https://www.econbiz.de/10005861203
convenience yields for CO2 emission allowance futures. We conduct an empirical study on price behavior, volatility term structure … high fraction of the yields can be explained by the price level and volatility of the spot prices. We conclude that the …
Persistent link: https://www.econbiz.de/10005861246
We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...
Persistent link: https://www.econbiz.de/10005861277