Add to ORKGIn quantitative finance and option pricing, one of the basic determinants of option prices is the volatility of the underlying asset. In this paper, we therefore, present a concise study of volatility in option pricing in the sense of Dupire’s approach. Thereafter, we outspread such study via the application of Ito formula to the modelling and valuation of currency option with local volatility. For the purpose of efficiency, we use the daily historical prices of stock-S&P 500 for a certain period to estimate the corresponding historical volatility. Graphical representation of the analysed daily historical data of stock prices with respect to a local volatility is presente
While the topic of volatility has been much further developed in the last three decades, I will try ...
In this paper, we address the problem of recovering the local volatility surface from option prices ...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
Many different models exist to describe the behaviour of asset prices and are used to value options ...
The most important advantage of the option transactions resides in the fact that it offers, through ...
International audienceFor general time-dependent local volatility models, we propose new approximati...
International audienceFor general time-dependent local volatility models, we propose new approximati...
When it comes to analyze a financial time series, volatility modelling plays an important role. As a...
This book provides an advanced treatment of option valuation. The general setting is that of 2D cont...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
This book provides an advanced treatment of option valuation. The general setting is that of 2D cont...
This thesis will outline not only the methods, but also illustrate the properties attributed to vari...
This thesis will outline not only the methods, but also illustrate the properties attributed to vari...
Using volatility estimation as the underlying commonality this thesis traverses the statistical prob...
DoctorIn financial engineering, the Black-Scholes model is the most popular and basic model for pric...
While the topic of volatility has been much further developed in the last three decades, I will try ...
In this paper, we address the problem of recovering the local volatility surface from option prices ...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
Many different models exist to describe the behaviour of asset prices and are used to value options ...
The most important advantage of the option transactions resides in the fact that it offers, through ...
International audienceFor general time-dependent local volatility models, we propose new approximati...
International audienceFor general time-dependent local volatility models, we propose new approximati...
When it comes to analyze a financial time series, volatility modelling plays an important role. As a...
This book provides an advanced treatment of option valuation. The general setting is that of 2D cont...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
This book provides an advanced treatment of option valuation. The general setting is that of 2D cont...
This thesis will outline not only the methods, but also illustrate the properties attributed to vari...
This thesis will outline not only the methods, but also illustrate the properties attributed to vari...
Using volatility estimation as the underlying commonality this thesis traverses the statistical prob...
DoctorIn financial engineering, the Black-Scholes model is the most popular and basic model for pric...
While the topic of volatility has been much further developed in the last three decades, I will try ...
In this paper, we address the problem of recovering the local volatility surface from option prices ...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...