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Detlefsen, Kai - 2017

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its … relation to calibration risk …

Persistent link: https://www.econbiz.de/10012966222

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

Investment behaviour, techniques and choices have evolved in the options markets since the launch of options trading in 1973. Today, we are entering the field of Big Data and the explosion of information, which has become the main feature of science, impacts investors' decisions and their...

Persistent link: https://www.econbiz.de/10012115106

Cross-sectional Variation of Option Implied Volatility Skew

Tian, Meng; Wu, Liuren - 2022

The stock options implied volatility skew reflects both the structural risk characteristics of the underlying company …-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two … structural risk sources that contribute to the cross-sectional variation of the skew: the company's business cyclicality and its …

Persistent link: https://www.econbiz.de/10013404293

Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems : A Probability Density Function Approach

Izmailov, Alexander - 2015

Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies” (see link 'http … corollary closed-form analytical results for such Value-At-Risk characteristics as the probabilities that an Asian Option will …

Persistent link: https://www.econbiz.de/10013030852

Bitcoin Has Thin Tails : Modelling Bitcoin Options With Damped Black-Scholes

Reiter, Jonathan - 2022

We examine the distribution of realized Bitcoin daily log-returns and find significantly-thin tails. From there we construct a simple connection back to traditional volatility modelling. And then we discuss how this connection can serve as a foundation to leverage existing derivative quant...

Persistent link: https://www.econbiz.de/10013406538

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben; Bondarenko, Oleg - 2011

facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …

Persistent link: https://www.econbiz.de/10014047423

Pricing European and Barrier Options in the Fractional Black-Scholes Market

Necula, Ciprian - 2008

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. The paper is build upon the framework developed in Necula (2007) for...

Persistent link: https://www.econbiz.de/10014213489

An Orthogonal Series Expansions Method to Hedge and Price European-Type Options

Chan, Ron - 2017

Closed-form pricing formulae and option Greeks are obtained for European-type options using an orthogonal polynomial series -- complex Fourier series. We assume that risky assets are driven by exponential Lévy processes and stochastic volatility models. We provide a succinct error analysis to...

Persistent link: https://www.econbiz.de/10012967806

Is the Information Obtained from European Options on Equally Weighted Baskets Enough to Determine the Prices of Exotic Derivatives Such as Worst of Options?

Marabel Romo, Jacinto - 2015

equally weighted basket options, quoted in the market, does not guaranty the absence of model risk even in the case where the …

Persistent link: https://www.econbiz.de/10013031257

Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs

Lou, Wujiang - 2015

An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the security lending market. Because of haircuts, she posts additional cash margin to the lender which needs to be financed at...

Persistent link: https://www.econbiz.de/10013033978