منابع مشابه
Dynamics of implied volatility surfaces
The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. However, the implied volatility surface also changes dynamically over time in a way that is not taken into account by current modelling approaches, giving rise to ‘Vega’ risk in o...
متن کاملStochastic Models of Implied Volatility Surfaces
We propose a market-based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random...
متن کاملNormalization for Implied Volatility
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. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the...
متن کاملSimulation of Implied Volatility Surfaces via Tangent Lévy Models
In this paper, we implement and test a market-based model for European-type options, based on the tangent Lévy models proposed in [4] and [3]. As a result, we obtain a method for generating Monte Carlo samples of future paths of implied volatility surfaces. These paths and the surfaces themselves are free of arbitrage, and are constructed in a way that is consistent with the past and present va...
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ژورنال
عنوان ژورنال: The Journal of Financial Data Science
سال: 2020
ISSN: 2640-3943
DOI: 10.3905/jfds.2020.1.032