ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO

Implied Volatility Estimation using Adjoint Monte Carlo Methods

Efficient Monte Carlo Simulation with Stochastic Volatility

Monte Carlo simulation is a powerful aid in many fields. In this thesis it is used for pricing of financial derivatives. Achieving accurate results with Monte Carlo is rather timeconsuming due to its slow convergence. However, there are ways to improve the accuracy of each simulation, for instance by reducing the inevitable discretization bias. In our financial context, this concerns the discre...

Implied Volatility Smirk

This paper studies implied volatility smirk quantitatively. We first propose a new concept of smirkness, which is defined as a triplet of at-the-money implied volatility, skewness (slope at the money) and smileness (curvature at the money) of implied volatility – moneyness curve. The moneyness is the logarithm of the strike price over the forward price, normalized by the standard deviation of e...

Deterministic implied volatility models

Abstract In this paper, we characterize two deterministic implied volatility models, defined by assuming that either the per-delta or the per-strike implied volatility surface has a deterministic evolution. Practitioners have recently proposed these two models to describe two regimes of implied volatility (see Derman (1999 Risk 4 55–9)). In an arbitrage-free sticky-delta model, we show that the...

Normalization for Implied Volatility

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the...