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Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Danske Bank Call Option Contract Using the Option Delta
Guirguis, Michel - 2019
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract … using the option delta. There is significant time variation in the implied volatility smile and the traditional Black … adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 3– month Danske …
Persistent link: https://www.econbiz.de/10012890742
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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
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A mean bound financial model and options pricing
Li, Yu - In: International journal of financial engineering 4 (2017) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10011807105
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Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion
Guirguis, Michel - 2019
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …
Persistent link: https://www.econbiz.de/10012890737
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - In: Review of derivatives research 22 (2019) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
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Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
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Option pricing with a dynamic fat-tailed model
Aboura, Sofiane; Valeyre, Sebastien; Wagner, Niklas F. - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 131-155
Persistent link: https://www.econbiz.de/10010462976