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搜索结果: 1-13 共查到经济学 implied volatility.相关记录13条 . 查询时间(0.031 秒)
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
For any exponential L磂vy model whose diffusion component isnonzero, we provide an exact series representation for the implied volatility of a European call option. Numerical examples are provided.
The implied volatility surface (IVS) is a fundamental building block in computational finance.We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which ...
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given...
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...
In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in t...
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is...
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...

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