Search Results - subject:"volatility smile"

On the Hull-White model with volatility smile for Valuation Adjustments

Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - In: Quantitative finance 25 (2025) 10, pp. 1535-1555

Persistent link: https://www.econbiz.de/10015534206

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

Effects of social media-based peer opinions on the prices of cryptocurrency options

Kim, Da-Hea - In: The journal of futures markets 45 (2025) 10, pp. 1512-1543

Persistent link: https://www.econbiz.de/10015464900

Implied volatility curve : an empirical study on Chinese SSE 50 ETF options

Sui, Cong; Wang, Wenjun; Liu, Enmao - In: Applied economics 57 (2025) 55, pp. 9373-9391

Persistent link: https://www.econbiz.de/10015546685

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

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

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

Pricing autocallables under local-stochastic volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - In: Peter Carr Gedenkschrift : research advances in …, (pp. 329-378). 2024

Persistent link: https://www.econbiz.de/10015446999