Graphical modelling using contextually implied functions
نویسندگان
چکیده
منابع مشابه
Implied volatility functions: empirical tests
Black and Scholes (1973) implied volatilities tend to be systematically related to the option’s exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset’s return is a de...
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Dumas, Fleming, Whaley (DFW, 1998) find that option models based on deterministic volatility functions (DVF) perform poorly because the estimated volatility function is unstable over time. DFW provide evidence that the DVF changes significantly on a weekly basis. This paper proposes a new class of dynamic implied volatility function models (DIVF). This class of models separates a time-invariant...
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We consider the problem of maximizing submodular functions; while this problem is known to be NP-hard, several numerically efficient local search techniques with approximation guarantees are available. In this paper, we propose a novel convex relaxation which is based on the relationship between submodular functions, entropies and probabilistic graphical models. In a graphical model, the entrop...
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Today’s graphical modelling languages, despite using symbols and connections, represent large model parts as structured text. We benefit from sophistic text editors, when we use programming languages, but we neglect the same technology, when we edit the textual parts of graphical models. Recent advances in generative engineering of textual model editors allow to create such sophisticated text e...
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An examination of implied volatilities for Swedish equity options shows a rather U-shaped smile pattern when the volatilities are averaged within groups according to their moneyness. The detected volatility smile makes the use of at-the-money implied volatilities for valuation of inor out-of-the-money options questionable. The at-the-money implied volatilities work well for valuing at-the-money...
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ژورنال
عنوان ژورنال: The Computer Journal
سال: 1971
ISSN: 0010-4620,1460-2067
DOI: 10.1093/comjnl/14.4.382