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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...

Persistent link: https://www.econbiz.de/10011431367

The Empirical Performance of Option Based Densities of Foreign Exchange

Craig, Ben R. - 2016

Persistent link: https://www.econbiz.de/10012991281

Option pricing with orthogonal polynomial expansions

Ackerer, Damien; Filipović, Damir - 2017

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

Persistent link: https://www.econbiz.de/10011870651

VaR/CVaR Estimation Under Stochastic Volatility Models

Han, Chuan-Hsiang - 2013

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value … components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation …

Persistent link: https://www.econbiz.de/10013088465

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Todorov, Viktor - 2010

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …

Persistent link: https://www.econbiz.de/10013137409

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Badescu, Alex - 2014

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta...

Persistent link: https://www.econbiz.de/10013065375

Option Convergence Rate with Geometric Random Walks Approximations

Leduc, Guillaume - 2016

We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black-Scholes model converges to zero at a speed of 1/n for continuous payoffs functions, and at a speed of 1/√n for discontinuous payoffs...

Persistent link: https://www.econbiz.de/10012998163

Moment Approximations of Displaced Forward-LIBOR Rates with Application to Swaptions

van Appel, Jacques - 2020

approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull …

Persistent link: https://www.econbiz.de/10012835181

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012484861

No arbitrage global parametrization for the eSSVI volatility surface

Mingone, Arianna - 2022

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...

Persistent link: https://www.econbiz.de/10013292792

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