digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

, especially on the BS implied volatility. Implied binomial trees (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 the state price density …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …. -- calibration ; data design ; implied volatility surface ; Heston model ; cliquet option …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In … bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … describe the volatility process well. Therefore, we consider a local adaptive modeling approach to find at each time point, an … optimal smoothing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and …

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …