INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
نویسندگان
چکیده
منابع مشابه
From implied to spot volatilities
Given the quote price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter to be put into Black-Scholes formula to give the same price as the option quote price. This dissertation is concerned with the link between the implied volatility and the actual volatility of the underlying stock. Such a link is of particular practical interest since it relates...
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In an incomplete information model, investors' uncertainty about the underlying drift rate of a rm's fundamentals a ects option prices through (i) endogenous and belief-dependent stochastic volatility, (ii) stochastic covariance between returns and volatility, and (iii) a market price of \belief risk." For the special case where the drift takes only two values, we provide an option pricing form...
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Implied volatilities of interest rate derivatives present some distinctive features, like the inverse relation with the underlying rates and the humped or decreasing shape of their term structure. The objective of this paper is to analyze and explain such features in a Gaussian framework. We will use an approximate relation which separates in a simple and natural way the effects on the implied ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2016
ISSN: 0960-1627
DOI: 10.1111/mafi.12129