volatility jump diffusion model …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …

We consider calibration of log-normal stochastic volatility model and computation of option delta consistently with … statistical dynamics of the asset price and its implied volatility surface. We introduce the concept of volatility skew-beta which … any dynamics of implied volatility under the statistical measure and reproduce empirical option delta. The calibrated …

). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …