Essays about: "Implied Volatility Surfaces"

Showing result 1 - 5 of 6 essays containing the words Implied Volatility Surfaces.

  1. 1. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Joar Mellström; [2019]
    Keywords : Volatility Surface; Implied Volatility; Rules of Thumb; NoArbitrage Condition; Index Options; Business and Economics;

    Abstract : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. READ MORE

  2. 2. 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. 3. Implied Volatility Surface Construction

    University essay from Umeå universitet/Institutionen för fysik

    Author : Erik Magnusson; [2018]
    Keywords : ;

    Abstract : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. READ MORE

  4. 4. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Nathaniel Ahy; Mikael Sierra; [2018]
    Keywords : Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Abstract : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. READ MORE

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

    University essay from Linköpings universitet/Linköpings universitet/BeräkningsmatematikTekniska 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