Search Results - subject:"volatility smile"

Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach

Albert, Pascal; Herold, Michael; Muck, Matthias - In: Journal of Futures Markets 43 (2023) 12, pp. 1807-1835

This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are affected by microstructure noise. We extrapolate...

Persistent link: https://www.econbiz.de/10014504042

Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach

Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835

Persistent link: https://www.econbiz.de/10014433013

Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of Derivatives Research 25 (2022) 3, pp. 315-339

extrapolation of the volatility smile in the tails. We use the asymptotic behavior of the volatility surface to construct a …

Persistent link: https://www.econbiz.de/10015192461

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …

Persistent link: https://www.econbiz.de/10013491888

Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of derivatives research 25 (2022) 3, pp. 315-339

Persistent link: https://www.econbiz.de/10013457627

Financial market disruption and investor awareness : the case of implied volatility skew

Siddiqi, Hammad - In: Quantitative finance and economics 6 (2022) 3, pp. 505-517

Persistent link: https://www.econbiz.de/10013499509

A generalization of the rational rough Heston approximation

Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 24 (2024) 2, pp. 329-335

Persistent link: https://www.econbiz.de/10014551997

Does smile help detect the UK's price leadership change after MiFID?

Adams, Michael B.; Chen, Jing; Guo, Qian; Li, Xiaoxi - In: International review of economics & finance : IREF 84 (2023), pp. 756-769

Persistent link: https://www.econbiz.de/10014364155

Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach

Kumar, Sudarshan; Agarwalla, Sobhesh Kumar; Varma, … - In: The journal of futures markets 43 (2023) 11, pp. 1615-1644

Persistent link: https://www.econbiz.de/10014432920

Probabilistic interpretation of Black implied volatility

Carr, Peter; Wu, Liuren; Zhang, Yuzhao - In: Options - 45 years since the publication of the …, (pp. 29-46). 2023

Persistent link: https://www.econbiz.de/10014366585