Essays about: "lokal volatilitet"

Found 3 essays containing the words lokal volatilitet.

1. 1. When to expect decreasing implied volatilities

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Tobias Nordahl; [2020]
   Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

   Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE

3. 2. The Swap Market Model with Local Stochastic Volatility

   University essay from KTH/Matematisk statistik

   Author : Mohammed Benmakhlouf Andaloussi; [2019]
   Keywords : ;

   Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE

4. 3. 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