management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient … under Heston stochastic volatility, the associated option deltas, gammas and vegas, and CDS pricing that our method …

This paper develops a dynamic joint model of the implied volatility (IV) surface and its underlying asset, impervious …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

movements. When volatility increases and markets become sparsely traded, it is not always effective to hedge adverse market …

volatility model, or they are based on simple regime-dependent parameterisations of local volatility. These deltas are popular … bitcoin option prices reveals that the bitcoin implied volatility curve behaves very differently from that of equity index …-of-the money calls during periods when the implied volatility curve slopes upwards. The advantage of using the perpetual contract …

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 …