EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS
نویسندگان
چکیده
منابع مشابه
Implied and Local Volatilities under Stochastic Volatility
For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process. We also give applications, including risk-premium-based explanations of the biases in some näıve pricing and hedg...
متن کاملStochastic Models of Implied Volatility Surfaces
We propose a market-based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random...
متن کاملImplied volatility explosions: European calls and implied volatilities close to expiry in exponential Lévy models
We examine the small expiry behaviour of the price of call options in models of exponential Lévy type. In most cases of interest, it turns out that E ( (Sτ −K) ) − (S0 −K) ∼ { τ ∫ R (S0e x −K)+ ν(dx), S0 < K, τ ∫ R (K − S0e) ν(dx), S0 > K, as τ → 0+, i.e. as time to expiry goes to zero. (We have written ν for the Lévy measure of the driving Lévy noise.) In “complete generality”, however, we can...
متن کاملOption pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
We derive closed-form analytical approximations in terms of series expansions for option prices and implied volatilities in a 2-hypergeometric stochastic volatility model with correlated Brownian motions. As in [4], these expansions allow us to recover the well-known skew and smile phenomena on implied volatility surfaces, depending on the values of the correlation parameter.
متن کاملDeterministic 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...
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: Mathematical Finance
سال: 2015
ISSN: 0960-1627
DOI: 10.1111/mafi.12105