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Asymptotic formulae for implied volatility in the Heston model
Asymptotic formulae implied volatility Heston model
2010/11/2
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...
A Review of Volatility and Option Pricing
Option pricing volatility models risk neutral valuation empirical volatility
2010/10/29
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and...
Scaling and memory in the return intervals of realized volatility
Econophysics Realized volatility Return interval Scaling Long memory
2010/10/29
We performreturn interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent...
Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Solvable Nonlinear Volatility Diffusion Models Affine Drift
2010/11/1
We present a method for constructing new families of solvable one-dimensional di usions with linear drift and nonlinear di usion coecient functions, whose tran-sition densities are obtainable in anal...
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we h...
Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
Time-Scale analysis Intermittency Nonlinearity and Chaos
2010/11/2
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar( US/EUR) using a combination of both statistical and ...
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Stochastic volatility Asymptotic expansion Heat kernel
2010/11/1
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...
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Call and put pricing functions Implied volatility Asymptotic formulas Pareto-type distributions Regularly varying functions
2010/11/1
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 ...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
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 ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
Exotic derivatives under stochastic volatility models with jumps
Double-barrier options volatility surface volatility derivatives forward starting options
2010/11/3
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass...
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
Volatility derivatives in market models with jumps
Volatility derivatives market models with jumps
2010/11/1
It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features....
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as
one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a...