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Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82
that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in …
Persistent link: https://www.econbiz.de/10011552872
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Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 43-82
that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in …
Persistent link: https://www.econbiz.de/10011133884
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IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
YANG, ZHAOJUN; EWALD, CHRISTIAN-OLIVER; XIAO, YAJUN - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 153-178
We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...
Persistent link: https://www.econbiz.de/10005000037
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Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
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Fair value accounting in the absence of prudence in accounting standards : an illustration with exotic derivatives
Marabel-Romo, Jacinto; Guiral, Andrés; Crespo Espert, … - In: Spanish journal of finance and accounting 46 (2017) 2/174, pp. 145-167
Persistent link: https://www.econbiz.de/10012128154
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Local Volatility Calibration Using An Adjoint Proxy
TURINICI, Gabriel - In: Review of Economic and Business Studies (2008) 2, pp. 93-105
We document the calibration of the local volatility in a framework similar to Coleman, Li and Verma. The quality of a …. Jiang et. al.) to obtain an approximation; moreover our main calibration variable is the implied volatility (the procedure …
Persistent link: https://www.econbiz.de/10008541553
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Cross-currency smile calibration
Turinici, Gabriel; Laillat, Marc - HAL - 2009
We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …
Persistent link: https://www.econbiz.de/10008789152
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Calibration of local volatility using the local and implied instantaneous variance
Turinici, Gabriel - HAL - 2009
We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first …
Persistent link: https://www.econbiz.de/10008791649
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Extreme at-the-money skew in a local volatility model
Pigato, Paolo - In: Finance and stochastics 23 (2019) 4, pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
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Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230