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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

Gradient boosting for quantitative finance

Davis, Jesse; Devos, Laurens; Reyners, Sofie; Schoutens, Wim - In: The journal of computational finance 24 (2021) 4, pp. 1-40

Persistent link: https://www.econbiz.de/10012544161

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802

The analysis of implied volatilities

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - 2001

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references … solved for the constant volatility parameter a using observed option prices. This is a more natural approach as the option …

Persistent link: https://www.econbiz.de/10009615424

The analysis of implied volatilites

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - 2001

Persistent link: https://www.econbiz.de/10001631320

The analysis of implied volatilities

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - In: Applied quantitative finance : theory and computational …, (pp. 127-144). 2002

Persistent link: https://www.econbiz.de/10001749982

Calibration risk for exotic options

Detlefsen, K.; Härdle, Wolfgang - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 47-63

Persistent link: https://www.econbiz.de/10003498957

Pricing kernel modeling

Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang - 2015

We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...

Persistent link: https://www.econbiz.de/10010462645

Conic Option Pricing

Madan, Dilip B. - 2019

Lower and upper prudent valuations in two price economies obtained on sufficiently distorting physical probabilities for returns to horizons matching option maturities straddle the market prices of options. Market prices are then modeled as geometric averages of the extremal valuations. Upper...

Persistent link: https://www.econbiz.de/10012902130

Conic option pricing

Madan, Dilip B.; Schoutens, Wim - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 10-36

Persistent link: https://www.econbiz.de/10011931506