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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

A Generalized Derivation of The Black-Scholes Implied Volatility Through Hyperbolic Tangents

Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni - 2022

suffers from many limitations, it is still widely used to derive the implied volatility of options. This is particularly … literature. A new formula was provided to correct some cases of underestimation of implied volatility. Graphic evidence, stress … why implied volatility is used in decision making …

Persistent link: https://www.econbiz.de/10014235946

A generalized derivation of the Black-Scholes implied volatility through hyperbolic tangents

Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni - In: Argumenta oeconomica 49 (2022) 2, pp. 23-57

Persistent link: https://www.econbiz.de/10014279306

Challenges in approximating the Black and Scholes call formula with hyperbolic tangents

Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 73-100

Persistent link: https://www.econbiz.de/10012587816

Challenges in Approximating the Black and Scholes Call Formula with Hyperbolic Tangents

Mininni, Michele - 2020

volatility from quoted options. The latter is of particular importance since it indicates the risk of the underlying and it is … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

Persistent link: https://www.econbiz.de/10012822792

A note on approximating the Black and Scholes call formula with hyperbolic tangents

Mininni, Michele - 2020

well as for extracting the implied volatility from quoted options. The latter is of particular importance since it … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

Persistent link: https://www.econbiz.de/10012851133

Stochastic Local Volatility Models and the Wei-Norman Factorization Method

Guerrero, Julio; Orlando, Giuseppe - 2022

In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of …

Persistent link: https://www.econbiz.de/10013293869

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