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A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10008901645

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

Estimating Option Implied Risk Neutral Densities : A Novel Parametric Approach (Preprint)

Orosi, Greg - 2019

In this paper, we propose a novel parametric approach to extract the implied risk-neutral density function from a cross-section of call option prices. The method is based on the framework proposed by Orosi (2011), who presents a multi-parameter extension of the models of Figlewski (2002) and...

Persistent link: https://www.econbiz.de/10012905353

Inferring risk-averse probability distributions from option prices using implied binomial trees

Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011

Persistent link: https://www.econbiz.de/10008988015

Volatility Smile and Risk Neutral Density for FX Options : An Example for the USDMXN

Murra, Luis - 2017

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

Persistent link: https://www.econbiz.de/10012967622

Closed-Form Partial Transform of Triple Joint Density for Pricing Exotic Options and Variance Derivatives Under the 3/2 Model

Zheng, Wendong - 2014

Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR …) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to … capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the …

Persistent link: https://www.econbiz.de/10013055819

Pricing Forward Skew Dependent Derivatives : Multifactor Versus Single-Factor Stochastic Volatility Models

Marabel Romo, Jacinto - 2014

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

Persistent link: https://www.econbiz.de/10013064470

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Gruber, Peter H. - 2011

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … of implied volatility skews more consistent with the data and (ii) to capture comovements of short and long term skews …

Persistent link: https://www.econbiz.de/10013128475

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

Persistent link: https://www.econbiz.de/10011857274