Essays about: "Implied Volatility Surfaces"

Showing result 6 - 9 of 9 essays containing the words Implied Volatility Surfaces.

1. 6. 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

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

   University essay from 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

4. 8. 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

5. 9. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

   University essay from KTH/Matematisk statistik

   Author : Mirella Zetoun; [2013]
   Keywords : Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

   Abstract : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. READ MORE