Add to ORKGThe skew e#ect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [7]. The time-variation of the fitted skew-slope parameter shows a periodic behaviour that depends on the option maturity dates in the future, which are known in advance. By extending the mathematical analysis to incorporate model parameters which are time-varying, we show this behaviour can be explained in a manner consistent with a large model class for the underlying price dynamic...
Artículo de publicación ISIWe examine whether the dynamics of the implied volatility surface of indi...
It is known that actual option prices deviate from the Black-Scholes formula using the same volatili...
textabstractThis paper provides simple approximations for evaluating option prices and implied volat...
The skew effect in market implied volatility can be reproduced by option pricing theory based on sto...
Due to recent research disproving old claims in financial mathematics such as constant volatility in ...
We present derivative pricing and estimation tools for a class of stochastic volatility models that ...
We present a derivative pricing and estimation methodology for a class of stochastic volatility mode...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
Recent evidence suggests that the parameters characterizing the implied volatility surface (IVS) in ...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We consider a market model of financial engineering with three factors represented by three correlat...
We document a surprising pattern in market prices of S&P 500 index options. When implied volatilitie...
In this thesis, we propose a new and simple approach of extending the single-factor Heston stochasti...
In this paper we propose analytical approximations for computing implied volatilities when time-to-m...
Artículo de publicación ISIWe examine whether the dynamics of the implied volatility surface of indi...
It is known that actual option prices deviate from the Black-Scholes formula using the same volatili...
textabstractThis paper provides simple approximations for evaluating option prices and implied volat...
The skew effect in market implied volatility can be reproduced by option pricing theory based on sto...
Due to recent research disproving old claims in financial mathematics such as constant volatility in ...
We present derivative pricing and estimation tools for a class of stochastic volatility models that ...
We present a derivative pricing and estimation methodology for a class of stochastic volatility mode...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
Recent evidence suggests that the parameters characterizing the implied volatility surface (IVS) in ...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We derive a closed-form asymptotic expansion formula for option implied volatility under a two-facto...
We consider a market model of financial engineering with three factors represented by three correlat...
We document a surprising pattern in market prices of S&P 500 index options. When implied volatilitie...
In this thesis, we propose a new and simple approach of extending the single-factor Heston stochasti...
In this paper we propose analytical approximations for computing implied volatilities when time-to-m...
Artículo de publicación ISIWe examine whether the dynamics of the implied volatility surface of indi...
It is known that actual option prices deviate from the Black-Scholes formula using the same volatili...
textabstractThis paper provides simple approximations for evaluating option prices and implied volat...