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On the implied volatility layers under the future risk-free rate uncertainty

Hin, Lin-yee; Dokučaev, Nikolaj G. - In: International journal of financial markets and derivatives 3 (2014) 4, pp. 392-408

Persistent link: https://www.econbiz.de/10010406861

On the Implied Volatility Layers Under the Future Risk-Free Rate Uncertainty

Hin, Lin-Yee - 2014

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios.We consider the setting where both the implied volatility...

Persistent link: https://www.econbiz.de/10013063582

Option pricing via maximization over uncertainty and correction of volatility smile

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524

Persistent link: https://www.econbiz.de/10009269369

Optimal gradual liquidation of equity from a risky asset

Dokučaev, Nikolaj G. - In: Applied economics letters 17 (2010) 13/15, pp. 1305-1308

Persistent link: https://www.econbiz.de/10008938305

On the implied market price of risk under the stochastic numéraire

Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251

Persistent link: https://www.econbiz.de/10011945595