Analogy Making and the Structure of Implied Volatility Skew

Analogy Making and the Structure of Implied Volatility Skew

the underlying structure of language proficiency and the proficiency level

هدف از انجام این تخقیق بررسی رابطه احتمالی بین سطح مهارت زبان خارجی (foreign language proficiency) و ساختار مهارت زبان خارجی بود. تعداد 314 زبان آموز مونث و مذکر که عمدتا دانشجویان رشته های زبان انگلیسی در سطوح کارشناسی و کارشناسی ارشد بودند در این تحقیق شرکت کردند. از لحاظ سطح مهارت زبان خارجی شرکت کنندگان بسیار با هم متفاوت بودند، (75 نفر سطح پیشرفته، 113 نفر سطح متوسط، 126 سطح مقدماتی). کلا ...

Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps

The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model selection and calibration. We rectify this by providing high-order asymptotic expansions for the at-the-money implied volatility skew, under a rich class of stochastic volatility models with independent stable-like jump...

Short-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps

The implied volatility slope has received relatively little attention in the literature on short-time asymptotics for financial models with jumps, despite its importance in model selection and calibration. In this paper, we fill this gap by providing high-order asymptotic expansions for the at-the-money implied volatility slope of a rich class of stochastic volatility models with independent st...

Price and Volatility Dynamics Implied by the VIX Term Structure

A particle-filter based estimation method is developed for the stochastic volatility model with/without jumps and applied on the S&P 500 index value and the VIX term structure jointly. The model encompasses all mean-reverting stochastic volatility option pricing models with a constant elasticity of variance, and can allow for price jumps. Our contention is that using the VIX term structure in e...