Good Volatility, Bad Volatility and Option Pricing
نویسندگان
چکیده
منابع مشابه
Asian Option Pricing and Volatility
An Asian option is a path-depending exotic option, which means that either the settlement price or the strike of the option is formed by some aggregation of underlying asset prices during the option lifetime. This thesis will focus on European style Arithmetic Asian options where the settlement price at maturity is formed by the arithmetic average price of the last seven days of the underlying ...
متن کاملOption pricing with fractional volatility
Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.
متن کاملOption Pricing under Ornstein-uhlenbeck Stochastic Volatility
We consider the problem of option pricing under stochastic volatility models, focusing on the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. We show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we derive the expressions of the characteristic function and the first four cumulants for the risk neutral probabili...
متن کاملInterest Rate Option Pricing With Volatility Humps
This paper develops a simple model for pricing interest rate options. Analytical solutiorls are developed for European claims and extremely efficient algorithms exist for tile pricing of American opciolls. T h e interest rate claims are priced in the Heath-Jarrow-klorto~i paradigm, and hence illcorporate full information on the term structure. T h e volatility. structure for forward rates is hu...
متن کاملOption pricing with quadratic volatility: a revisit
This paper considers the pricing of European options on assets that follow a stochastic differential equation with a quadratic volatility term. We correct several errors in the existing literature, extend the pricing formulas to arbitrary root configurations, and list alternative representations of option pricing formulas to improve computational performance. Our exposition is based entirely on...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2741267