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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …
Persistent link: https://www.econbiz.de/10011958447
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Did option prices predict the ERM crises?
Mizrach, Bruce Marshall - 1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
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A functional analysis approach to the static replication of European options
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
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Estimating Gram-Charlier Expansions Under Positivity Constraints
Jondeau, Eric; Rockinger, Michael - 2015
that in Gram-Charlier expansions, parameters appear which directly control the skewness and kurtosis. Those expansions, of …
Persistent link: https://www.econbiz.de/10014204365
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A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density
Rompolis, Leonidas - 2017
of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by …
Persistent link: https://www.econbiz.de/10014224966
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Gram-Charlier Densities (Revised version)
Jondeau, Eric - 2015
The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance …
Persistent link: https://www.econbiz.de/10013038353
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Concept and Mathematics of Islamic Financial Engineering
Aydin, Nadi Serhan - 2012
We argue that Islamic principles, in particular the avoidance of ribā and gharar should be applied with respect to real economic value rather than to monetary value in terms of conventional currency. In order to reconcile monetary value with economic value, we propose a reference currency...
Persistent link: https://www.econbiz.de/10013102582
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Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk : Specification, Parametrisation, Valuation)
Fries, Christian P. - 2019
In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions. The automatic termination procedure embedded in the smart contracts replaces the counterparty default by an option right of the...
Persistent link: https://www.econbiz.de/10012899557
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Option Pricing Where the Underlying Assets Follow a Gram/Charlier Density of Arbitrary Order
Schlögl, Erik - 2010
the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …
Persistent link: https://www.econbiz.de/10013135174