Essays about: "stochastic smile"

Showing result 6 - 10 of 10 essays containing the words stochastic smile.

  1. 6. The SABR Model : Calibrated for Swaption's Volatility Smile

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Nguyen Tran; Anton Weigardh; [2014]
    Keywords : SABR; Volatility smile; Swaption; Stochastic volatility; Black-Scholes model;

    Abstract : Problem: The standard Black-Scholes framework cannot incorporate the volatility smiles usually observed in the markets. Instead, one must consider alternative stochastic volatility models such as the SABR. Little research about the suitability of the SABR model for Swedish market (swaption) data has been found. READ MORE

  3. 7. Calculating sensitivities in the SABR/LIBOR market model for European swaptions

    University essay from Institutionen för fysik

    Author : Moa Hållberg; [2012]
    Keywords : Swaptions; market model; SABR; LIBOR; SABR LIBOR; Sensitivities; Greeks; Vega; Vomma; Volatility smile;

    Abstract : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. READ MORE

  4. 8. SVI estimation of the implied volatility by Kalman filter.

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Sergey Burnos; ChaSing Ngow; [2010]
    Keywords : Kalman filter; SVI model; implied volatility;

    Abstract : To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a  linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility. READ MORE

  5. 9. The Heston Model - Stochastic Volatility and Approximation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Patrik Karlsson; [2009]
    Keywords : Black-Scholes; Derivative Pricing; Heston; Monte Carlo; Volatility Smile.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The crude assumption on log normal stock returns and constant volatility in the Black-Scholes model is a big constraint which constructs smile and skew inconsistent prices. The Heston model and its suggested approximation built on stochastic volatility are introduced and faced against the Black-Scholes model in hope of producing option prices where the smile and skew are taken into account. READ MORE

  6. 10. Stochastic Volatility and the Volatility Smile

    University essay from Matematiska institutionen

    Author : Vassilis Galiotos; [2008]
    Keywords : ;

    Abstract : .... READ MORE