Forecasting with option-implied information
This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …
[图书][B] The Heston model and its extensions in Matlab and C
FD Rouah - 2013 - books.google.com
Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
We propose a two‐sided jump model for credit risk by extending the Leland–Toft
endogenous default model based on the geometric Brownian motion. The model shows that …
endogenous default model based on the geometric Brownian motion. The model shows that …
[图书][B] Rough volatility
Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …
Asymptotics of implied volatility to arbitrary order
K Gao, R Lee - Finance and Stochastics, 2014 - Springer
In a unified model-free framework that includes long-expiry, short-expiry, extreme-strike, and
jointly-varying strike-expiry regimes, we generate implied volatility and implied variance …
jointly-varying strike-expiry regimes, we generate implied volatility and implied variance …
Implied volatility surface: Construction methodologies and characteristics
C Homescu - arXiv preprint arXiv:1107.1834, 2011 - arxiv.org
The implied volatility surface (IVS) is a fundamental building block in computational finance.
We provide a survey of methodologies for constructing such surfaces. We also discuss …
We provide a survey of methodologies for constructing such surfaces. We also discuss …
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
L Andersen, A Lipton - … Journal of Theoretical and Applied Finance, 2013 - World Scientific
Exponential Lévy processes can be used to model the evolution of various financial
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …
Asymptotic formulae for implied volatility in the Heston model
In this paper, we prove an approximate formula expressed in terms of elementary functions
for the implied volatility in the Heston model. The formula consists of the constant and first …
for the implied volatility in the Heston model. The formula consists of the constant and first …
Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes
A Gulisashvili - SIAM Journal on Financial Mathematics, 2010 - SIAM
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 …
associated with a European call pricing function. We show that these formulas imply Lee's …
On refined volatility smile expansion in the Heston model
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the
critical moment s+ can be obtained by solving (numerically) a simple equation. This yields a …
critical moment s+ can be obtained by solving (numerically) a simple equation. This yields a …