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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 … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …
Persistent link: https://www.econbiz.de/10013292792
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Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...
Persistent link: https://www.econbiz.de/10013118115
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Asymptotics for Exponential Levy Processes and Their Volatility Smile : Survey and New Results
Andersen, Leif B. G. - 2012
Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces...
Persistent link: https://www.econbiz.de/10013104402
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Performance Measurement for Option Portfolios in a Stochastic Volatility Framework
Baule, Rainer - 2019
Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we provide a theoretically rigorous derivation of the...
Persistent link: https://www.econbiz.de/10012900121
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The Small-Maturity Heston Forward Smile
Jacquier, Antoine (Jack) - 2015
In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the...
Persistent link: https://www.econbiz.de/10013035837
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Asymptotics of Forward Implied Volatility
Jacquier, Antoine (Jack) - 2015
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models.This expansion applies to both small and large maturities and...
Persistent link: https://www.econbiz.de/10013036196
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Inference, arbitrage, and asset price volatility
Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64
Persistent link: https://www.econbiz.de/10003813178
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
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A Test of Speculative Arbitrage : Is the Cross-section of Volatility Invariant?
Barardehi, Yashar H. - 2019
trade-time volatilities. We jointly develop theoretical foundations of "no speculative arbitrage'' whose implications … month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time …
Persistent link: https://www.econbiz.de/10012901721
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Market Microstructure Invariance : A Dynamic Equilibrium Model
Kyle, Albert S. - 2020
We derive invariance relationships in a dynamic, infinite-horizon, equilibrium model of adverse selection with risk-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two state variables: stock price and...
Persistent link: https://www.econbiz.de/10012850268