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Analysis of market volatility via a dynamically purified option price process

Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010391659

Analysis of Market Volatility via a Dynamically Purified Option Price Process

Luong, Chuong - 2014

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to eliminate the impact of the stock price movements....

Persistent link: https://www.econbiz.de/10013063198

Option pricing via maximization over uncertainty and correction of volatility smile

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524

Persistent link: https://www.econbiz.de/10009269369

Mean-reverting discrete time market models : speculative opportunities and absence of arbitrage

Dokučaev, Nikolaj G. - In: IMA journal of management mathematics 23 (2012) 1, pp. 17-27

Persistent link: https://www.econbiz.de/10009510307

Continuously controlled options : derivatives with added flexibility

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009725089

Two unconditionally implied parameters and volatilty smiles and skews

Dokučaev, Nikolaj G. - In: Applied financial economics letters 2 (2006) 3, pp. 199-204

Persistent link: https://www.econbiz.de/10003326280

Price matching for multiple rescindable options and European options

Dokučaev, Nikolaj G. - In: Applied financial economics letters 4 (2008) 4/6, pp. 319-325

Persistent link: https://www.econbiz.de/10003807716

Bond pricing and two unconditionally implied parameters inferred from option prices

Dokučaev, Nikolaj G. - In: Applied financial economics letters 3 (2007) 2, pp. 109-113

Persistent link: https://www.econbiz.de/10003540276

Mean-reverting market model : speculative opportunities and non-arbitrage

Dokučaev, Nikolaj G. - In: Applied mathematical finance 14 (2007) 4, pp. 319-337

Persistent link: https://www.econbiz.de/10003543044

On the implied market price of risk under the stochastic numéraire

Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251

Persistent link: https://www.econbiz.de/10011945595