Narrow search
Showing 1 - 10 of 3,913
Cover Image
Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
Cover Image
Discrete Time Stochastic Volatility
Roos, Thomas - 2017
method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the … obtained as one-dimensional integrals. The specification of the volatility function is flexible and allows additional control …
Persistent link: https://www.econbiz.de/10012944442
Cover Image
Advanced Analytics for the SABR Model
Antonov, Alexandre - 2012
implemented and do not contain any numerical integration.These formulas are important in volatility surface construction and CMS …
Persistent link: https://www.econbiz.de/10013108810
Cover Image
Exact Solution to CEV Model with Uncorrelated Stochastic Volatility
Antonov, Alexandre - 2014
Stochastic volatility models are widely used in interest rate modeling to match the option smiles -- the two most …, Heston-LMM and SABR-LMM respectively.In this paper we consider the CEV model with a general stochastic volatility. Assuming … that rate-volatility correlation is zero we are able to obtain an exact integral representation of the option price …
Persistent link: https://www.econbiz.de/10013059957
Cover Image
Mixing SABR Models for Negative Rates
Antonov, Alexandre - 2015
In the current low-interest-rate environment, extending option models to negative rates has become an important issue. In our previous paper, we introduced the Free SABR model, which is a natural and an attractive extension to the classical SABR model. In spite of its advantages over the Shifted...
Persistent link: https://www.econbiz.de/10013016587
Cover Image
The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper (contributor);  … - 2005
realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …
Persistent link: https://www.econbiz.de/10003795292
Cover Image
Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …
Persistent link: https://www.econbiz.de/10013029750
Cover Image
Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …
Persistent link: https://www.econbiz.de/10013030477
Cover Image
Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...
Izmailov, Alexander - 2015
• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...
Persistent link: https://www.econbiz.de/10013032725
Cover Image
A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach
Izmailov, Alexander - 2015
of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …
Persistent link: https://www.econbiz.de/10013022328