Search Results - subject:"volatility function"

Noisy high frequency data-based estimation of volatility function with applications

Lin, Jinguan; Ye, Xuguo; Zhao, Yanyong; Hao, Hongxia - In: The Singapore economic review 68 (2023) 6, pp. 2127-2150

Persistent link: https://www.econbiz.de/10014500398

Risk appetite and option prices : evidence from the Chinese SSE50 options market

Liu, Qing; Wang, Shouyang; Sui, Cong - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248927

The effect of time-induced stress on financial decision making in real markets : the case of traffic congestion

Gelʹman, Sergej V.; Kliger, Doron - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 814-841

Persistent link: https://www.econbiz.de/10012601396

Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 43-82

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...

Persistent link: https://www.econbiz.de/10011133884

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 43-82

Persistent link: https://www.econbiz.de/10011843252

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

Persistent link: https://www.econbiz.de/10011552872

A nonparametric specification test for the volatility functions of diffusion processes

Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576

Persistent link: https://www.econbiz.de/10012181335

VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation

Lin, Yueh-Neng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4432-4446

This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The...

Persistent link: https://www.econbiz.de/10010703250

VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation

Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446

Persistent link: https://www.econbiz.de/10010247020

The implicit models of the option valuation

Ayastuy, Gerardo Arregui - In: Cuadernos de Gestión 4 (2004) 2, pp. 77-93

development in last years. In this approach there are different alternatives: implied trees, deterministic volatility function … models and implied volatility function models. All of them are based on the estimation of the risk-neutral probability …

Persistent link: https://www.econbiz.de/10008505704