Option implied risk-neutral distributions and implied binomial trees: A literature review
JC Jackwerth - Journal of derivatives, 1999 - papers.ssrn.com
In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …
implied binomial trees, we start by observing that in efficient markets, there is information …
[BOOK][B] Asset price dynamics, volatility, and prediction
SJ Taylor - 2011 - books.google.com
This book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …
probability distributions that govern future prices. Moving beyond purely theoretical models …
[BOOK][B] The Heston model and its extensions in Matlab and C
FD Rouah - 2013 - books.google.com
Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
derivatives Since its introduction in 1993, the Heston model has become a popular model for …
[BOOK][B] Option-implied risk-neutral distributions and risk aversion
J Jackwerth - 2004 - kops.uni-konstanz.de
Analysts are accustomed to using prices for the information they contain. A stock price, for
example, can be thought of as an expected value of future cash flows. Each futures price …
example, can be thought of as an expected value of future cash flows. Each futures price …
[PDF][PDF] Omega as a performance measure
H Kazemi, T Schneeweis, B Gupta - JOURNAL OF …, 2004 - researchgate.net
In a recent paper, Shadwick and Keating (2002b) present a new measure of performance
called Omega. According to the authors, Omega was developed to overcome the …
called Omega. According to the authors, Omega was developed to overcome the …
The Jacobi stochastic volatility model
We introduce a novel stochastic volatility model where the squared volatility of the asset
return follows a Jacobi process. It contains the Heston model as a limit case. We show that …
return follows a Jacobi process. It contains the Heston model as a limit case. We show that …
The implied volatility smirk
JE Zhang, Y Xiang - Quantitative Finance, 2008 - Taylor & Francis
This paper provides an industry standard on how to quantify the shape of the implied
volatility smirk in the equity index options market. Our local expansion method uses a …
volatility smirk in the equity index options market. Our local expansion method uses a …
Pricing American Options under Azzalini Ito-McKean Skew Brownian Motions
S Hussain, H Arif, M Noorullah, AA Pantelous - Applied Mathematics and …, 2023 - Elsevier
In this paper, the pricing of American options whose asset price dynamics follow Azzalini Itô-
McKean skew Brownian motions is considered. The corresponding optimal stopping time …
McKean skew Brownian motions is considered. The corresponding optimal stopping time …
Modeling market downside volatility
We propose a new methodology for modeling and estimating time-varying downside risk
and upside uncertainty in equity returns and for assessment of risk–return trade-off in …
and upside uncertainty in equity returns and for assessment of risk–return trade-off in …
The generalized extreme value (GEV) distribution, implied tail index and option pricing
SM Markose, A Alentorn - 2005 - repository.essex.ac.uk
Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the
Dot-Com bubble have radically changed the view that extreme events in financial markets …
Dot-Com bubble have radically changed the view that extreme events in financial markets …