نتایج جستجو برای: implied volatility
تعداد نتایج: 38511 فیلتر نتایج به سال:
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas for the implied volatility and the tail-wing formulas due to Benaim and Friz. In addition, we analyze Pareto-type tails of stock price distributions in uncorrelated Hull-White, Stein-Stein, and Hest...
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...
This paper presents a simple reduce-form approach to pricing credit derivatives. The definition of default is purely based on the market value of a risky bond and its potential recovery value. A risky bond is treated as a riskless bond with an embedded short position on a barrier option. The risky bond market implicitly prices this barrier option. The default implied volatility (DIV) curve for ...
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The Black–Scholes implied total variance function is defined by VBS(k, c) = v ⇔ Φ ( − k/ √ v + √ v/2 ) − eΦ ( − k/ √ v − √ v/2 ) = c. The new formula VBS(k, c) = inf x∈R [ Φ−1 ( c + eΦ(x) ) − x ]2 is proven. Uniform bounds on the function VBS are deduced and illustrated numerically. As a by-product of this analysis, it is proven that F is the distribution function of a logconcave probability me...
The study examines the ability of three volatility-forecasting models to estimate the term structure of implied volatilities. The tests are performed on equity Warrants listed on the JSE with the three measures being the Generalized Autoregressive Conditional Heteroscedicity (GARCH), the exponential GARCH (EGARCH) and the Exponentially Weighted Moving Average (EWMA). The Black-Scholes implied v...
This article illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (2009), a clear link remains between option prices and liquidity; with a reduction (increase) in spot (option) liquidity, there is a correspo...
This paper is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility models and the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data. We use an extension of classical B-splines obtained by including basis functions with infinite support. We first come ba...
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