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...

the bride possesses the right as to the dowry as soon asterms of marriage are uttered and is allowed to use it inany way she wishes, including denoting it altogether to thebridegroom and discharge him of his obligations in thisconnection. on the other hand, divorce before intercourseis considered an independent factor in transferring half ofthe dowry to the bridegroom based on which, according ...

Explanations are a technique for reasoning about constraint propagation, which have been applied in many learning, backjumping and user interaction algorithms. To date, explanations have been recorded eagerly when the propagation happens, which leads to ine cient use of time and space, because many will never be used. In this paper we show that it is possible and highly e ective to calculate ex...

The widespread practice of quoting option prices in terms of their Black-Scholes implied volatilities (IVs) in no way implies that market participants believe underlying returns to be lognormal. On the contrary, the variation of IVs across option strike and term to maturity, which is widely referred to as the volatility surface, can be substantial. In this brief review, we highlight some empiri...

Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. First some methods and techniques in use for such surface constructing are presented. Then the most attractive...