[PDF][PDF] Riding on a smile

E Derman, I Kani - Risk, 1994 - researchgate.net
Constructing binomial tree models that are consistent uith the volatility smile effect he Black-Scholes
theory has two important but independent features. The primary feature is that it is …

Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility

E Derman, I Kani - International journal of theoretical and applied …, 1998 - World Scientific
In this paper we present an arbitrage pricing framework for valuing and hedging contingent
equity index claims in the presence of a stochastic term and strike structure of volatility. Our …

Static options replication

E Derman, D Ergener, I Kani - Journal of Derivatives, 2000 - papers.ssrn.com
This article presents a practical and useful method for replicating or hedging a target stock
option with a portfolio of other options. It shows how to construct a replicating portfolio of …

The local volatility surface: Unlocking the information in index option prices

E Derman, I Kani, JZ Zou - Financial analysts journal, 1996 - Taylor & Francis
The structure of listed index options prices, examined through the prism of the implied tree
model, reveals the local volatility surface of the underlying index. In the same way as fixed-…

Enhanced numerical methods for options with barriers

E Derman, I Kani, D Ergener… - Financial Analysts Journal, 1995 - Taylor & Francis
Most real-world barrier option values have no analytic solutions, either because the barrier
structure is complex or because of volatility skews in the market. Numerical solutions are …

Asymptotic mass degeneracies in conformal field theories

I Kani, C Vafa - Communications in mathematical physics, 1990 - Springer
By applying a method of Hardy and Ramanujan to characters of rational conformal field
theories, we find an asymptotic expansion for degeneracy of states in the limit of large mass …

[PDF][PDF] Investing in volatility

E Derman, M Kamal, I Kani, J McClure… - Futures and Options …, 1998 - pricing.free.fr
In the beginning was the bond 1, its value measured simply by its price. Soon, analysts
invented better measures of relative bond value: current yield, which led to yield to maturity, …

Cross sections for dark matter particles and implications for allowed masses, interactions, and detection

GL Kane, I Kani - Nuclear Physics B, 1986 - Elsevier
We present scattering and annihilation cross sections for a number of candidates for dark
matter: heavy neutrinos, photinos, scalar-neutrinos, and higgsinos. In the mass region below …

A possible new signature for Higgs bosons

HE Haber, I Kani, GL Kane, M Quirós - Nuclear Physics B, 1987 - Elsevier
If low-energy supersymmetry is realized in nature, and if the appropriate supersymmetric
partner of the Higgs boson, h , has a mass m h ⪡ m Z , then there is a decay chain Z → zh , …

[CITATION][C] Implied trinomial tress of the volatility smile

E Derman, I Kani, N Chriss - The Journal of Derivatives, 1996 - cir.nii.ac.jp
Iraj Kani