Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
نویسندگان
چکیده
منابع مشابه
Dynamics of implied volatility surfaces
The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. However, the implied volatility surface also changes dynamically over time in a way that is not taken into account by current modelling approaches, giving rise to ‘Vega’ risk in o...
متن کاملHedging Volatility Risk
Volatility derivatives are becoming increasingly popular as means for hedging unexpected changes in volatility. Although pricing volatility derivatives demands extreme care in modeling the underlying volatility process, not much attention has been devoted to the complete specification of the autonomous process that volatility follows in continuous time. Despite the fact that jumps are widely co...
متن کاملCDO Pricing: Copula Implied by Risk Neutral Dynamics
When dealing with multi-issuer credit derivatives such as CDO, it is customary to referthe reader to either of two approaches: “static models” which focus on the copula between thevariables of interest, and “dynamic models” where the diffusion of the underlying variablesis described directly. While the former is widely used due to its simplicity, it is not clearthat there is...
متن کاملImplied Volatility: Statics, Dynamics, and Probabilistic Interpretation
Given the price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter for which the Bulack-Scholes formula recovers the option price. This article surveys research activity relating to three theoretical questions: First, does implied volatility admit a probabilistic interpretation? Second, how does implied volatility behave as a function of strike and ...
متن کاملThe Effects of the Risk Neutral Skewness on Implied Volatility Regressions
This paper provides new insights into the sources of bias of the implied by option prices volatility to forecast its physical counterpart. This bias can be attributed to the volatility risk premium effects. The latter are found to depend on the high order cumulants of the risk neutral density. These cumulants capture the risk averse behavior of the investors in the stock and option markets for ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2021
ISSN: 1556-5068
DOI: 10.2139/ssrn.3808555