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Efficient numerical pricing of American call options using symmetry arguments

Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

Persistent link: https://www.econbiz.de/10012022212

Arbitrage-Free Call Option Surface Construction Using Regression Splines (Preprint)

Orosi, Greg - 2015

In this work, we suggest a novel quadratic programming-based algorithm to generate an arbitrage-free call option surface. Our approach relies on a regression spline-based implementation of the framework proposed by Orosi (2011) who presents a multi-parameter extension of the models of Figlewski...

Persistent link: https://www.econbiz.de/10013037506

Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … over time. The method is computationally efficient because it requires only one pass of simulation runs regardless of the …

Persistent link: https://www.econbiz.de/10013123815

Asymptotics of Forward Implied Volatility

Jacquier, Antoine (Jack) - 2015

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models.This expansion applies to both small and large maturities and...

Persistent link: https://www.econbiz.de/10013036196

A New Nonparametric Estimate of the Risk-Neutral Density with Application to Variance Swap

Jiang, Liyuan - 2018

In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S&P 500 market option prices from 1996 to 2015. A...

Persistent link: https://www.econbiz.de/10012908839

A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options

Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014531706

A Hausman test for partially linear models with an application to implied volatility surface

Jiang, Yixiao - In: Journal of risk and financial management : JRFM 13 (2020) 11/287, pp. 1-12

This paper develops a test that helps assess whether the term structure of option implied volatility is constant across different levels of moneyness. The test is based on the Hausman principle of comparing two estimators, one that is efficient but not robust to the deviation being tested, and...

Persistent link: https://www.econbiz.de/10012388603