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Sound deposit insurance pricing using a machine learning approach
Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks : open access journal 7 (2019) 2/45, pp. 1-18
inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first … update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make …
Persistent link: https://www.econbiz.de/10012019237
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Arbitrage-free market models for option prices: the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and Stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10005613395
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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
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...
Persistent link: https://www.econbiz.de/10011843252
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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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
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...
Persistent link: https://www.econbiz.de/10011552872
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Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn; Maré, E. - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011773296
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A. - In: Quantitative finance 22 (2022) 12, pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho; Gobet, Emmanuel; Maurice, Anne-Claire - In: Quantitative finance 23 (2023) 9, pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude; Mingone, Arianna - In: The journal of computational finance : JFC 27 (2023) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
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The no arbitrage condition in option implied trees: evidence from the Italian index options market
Moriggia, V.; Muzzioli, S.; Torricelli, C. - Dipartimento di Economia "Marco Biagi", Università … - 2005
A major issue in the construction of implied trees is the no arbitrage property preservation. Within the literature on deterministic smile-consistent trees using forward induction, two major contributions are: Derman and Kani (1994) and Barle and Cakici (1998). The former proposes a methodology...
Persistent link: https://www.econbiz.de/10008517820