Essays about: "stochastic smile"
Showing result 6 - 10 of 10 essays containing the words stochastic smile.
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6. The SABR Model : Calibrated for Swaption's Volatility Smile
University essay from Akademin för utbildning, kultur och kommunikationAbstract : 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
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7. Calculating sensitivities in the SABR/LIBOR market model for European swaptions
University essay from Institutionen för fysikAbstract : 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
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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)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
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9. The Heston Model - Stochastic Volatility and Approximation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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10. Stochastic Volatility and the Volatility Smile
University essay from Matematiska institutionenAbstract : .... READ MORE