Essays about: "Volatility smiles"

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

  1. 1. Extracting volatility smiles from historical spot data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Larsson; [2017]
    Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

  3. 2. 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

  4. 3. 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

  5. 4. Risk neutral densities and the September 2008 stock market crash: A study on European data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Misha Wolynski; Martin Theimer; [2011]
    Keywords : Risk neutral density RND ; Implied volatility; September 2008 stock market crash; Late-2000s financial crisis;

    Abstract : In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. READ MORE

  6. 5. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Blomkvist; Viktor Berggren; [2010]
    Keywords : Implied volatility; Volatility smiles; Volatility surface; Options;

    Abstract : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. READ MORE