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Estimating the parameters of stochastic volatility models using option price data

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594

Persistent link: https://www.econbiz.de/10011403243

The Log Moment formula for implied volatility

Jacquier, Antoine (Jack); Raval, Vimal - 2021

wing of the implied volatility smile is less constrained than Lee's bound. The result is rationalised by a market trading … expressing variance swaps in terms of the implied volatility …

Persistent link: https://www.econbiz.de/10013241823

Nonparametric jump variation measures from options

Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10013463804

Zeitveränderliche Volatilität in der Optionsbewertung : ein Vergleich von Black-Scholes und GARCH Preisen

Geyer, Alois - In: Finanzmarkt und Portfolio-Management 8 (1994) 2, pp. 242-248

Persistent link: https://www.econbiz.de/10001221032

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...