Essays about: "model free implied volatility"

Showing result 1 - 5 of 7 essays containing the words model free implied volatility.

  1. 1. The Calibrated SSVI Method - Implied Volatility Surface Construction

    University essay from KTH/Matematisk statistik

    Author : Adam Öhman; [2019]
    Keywords : Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Abstract : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. READ MORE

  3. 2. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    University essay from KTH/Matematisk statistik

    Author : Simon Carmelid; [2017]
    Keywords : ;

    Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE

  4. 3. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  5. 4. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

    University essay from Göteborgs universitet/Graduate School

    Author : Eric Öström; [2016-05-23]
    Keywords : ;

    Abstract : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. READ MORE

  6. 5. Local Volatility Calibration on the Foreign Currency Option Market

    University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Author : Markus Falck; [2014]
    Keywords : FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Abstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE