Download or read book Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 Month Lundbeck Option Call Option Contract Using the Brownian Motion written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the implied volatility smile of a lognormal distribution on a 3 - month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black - Scholes model can not explain this deviation. The Black - Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution using the Brownian motion help us to price the contract at a different market prices and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 3 - month Lundbeck call option contract is not overpriced relative to other call market prices. The 3 - month call contract with short maturity show high market standard deviation relative to the other call prices. Possible explanations of volatility smile are bid - ask spreads, transactions costs and leverage. The Brownian motion displays increased volatility of the 3 - month Lundbeck call contract that is due to the interaction of arbitrageurs and noise traders. In addition, brownian motion is used to show the dynamic behaviour of the real value of the 3 -month Lundbeck call contract using the fisher effect.
Download or read book Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 Month Danske Bank Call Option Contract Using the Option Delta written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the implied volatility smile of a lognormal distribution on a 3 - month Danske bank call option contract using the option delta. There is significant time variation in the implied volatility smile and the traditional Black - Scholes model can not explain this deviation. The Black - Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 3- month Danske bank call option contract is not overpriced relative to other call market prices. The 3 - month call contract with short maturity show high market standard deviation relative to the other call prices. Possible explanations of volatility smile are bid - ask spreads, transactions costs and leverage.
Download or read book Testing the Implied Volatility Smile of a Lognormal Distribution on a 6 Month EUR USD Call Currency Option Contract Using a Random Standard Normal Variable written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the implied volatility smile of a lognormal distribution on a on a 6 - month EUR/USD call currency option contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the traditional Black - Scholes model can not explain this deviation. The Black - Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 6 - month EUR/USD call currency option contract is overpriced relative to other call market prices. The 6 - month call contract with long maturity show low market standard deviation relative to the other call prices when using a random standard normal variable. There are no speculation opportunities as the 6 - month EUR/USD call currency option is steep and the volatility is decreased.
Download or read book Testing the Implied Volatility Smile of a Lognormal Distribution on a 6 Month EUR USD Call Currency Option Contract Using the Ratio of Strike and Share Price written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the implied volatility smile of a lognormal distribution on a on a 6 - month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black - Scholes model can not explain this deviation. The Black - Scholes model is used to calculate the theoretical call option price. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 6 - month EUR/USD call currency option contract is overpriced relative to other call market prices. The 6 - month call contract with long maturity show low market standard deviation relative to the other call prices. Arbitrageurs check regularly the bid - ask spread to benefit from the mispricing. They check the steepness of the volatility smile to benefit from in the money call option.
Download or read book Interpreting the Volatility Smile written by Steven A. Weinberg and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Deriving Implied Distributions from Commodity Option Prices written by Rui Fan and published by . This book was released on 2001 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A One Factor Volatility Smile Model with Closed Form Solutions for European Options written by Anlong Li and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The common practice of using different volatilities for options of different strikes in the Black-Scholes (1973) model imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper addresses this problem by replacing the Brownian motion or, alternatively, the Geometric Brownian motion in the Black-Scholes model with a two-piece quadratic or linear function of the Brownian motion. By selecting appropriate parameters of this function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed-form solutions for European options, which enables fast calibration of the model to market option prices. The model can also be efficiently implemented in discrete time for pricing complex options.
Download or read book Rough Volatility written by Giulia Livieri and published by . This book was released on 2017 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This result has been established using high frequency volatility estimations from historical price data. We revisit this finding by studying implied volatility based approximations of the spot volatility. Using at-the-money options on the S&P500 index with short maturity, we are able to confirm that volatility is rough. The Hurst parameter found here, of order 0.3, is slightly larger than that usually obtained from historical data. This is easily explained from a smoothing effect due to the remaining time to maturity of the considered options.
Download or read book Administrative Records for Survey Methodology written by Asaph Young Chun and published by John Wiley & Sons. This book was released on 2021-04-06 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: ADMINISTRATIVE RECORDS FOR SURVEY METHODOLOGY Addresses the international use of administrative records for large-scale surveys, censuses, and other statistical purposes Administrative Records for Survey Methodology is a comprehensive guide to improving the quality, cost-efficiency, and interpretability of surveys and censuses using administrative data research. Contributions from a team of internationally-recognized experts provide practical approaches for integrating administrative data in statistical surveys, and discuss the methodological issues—including concerns of privacy, confidentiality, and legality—involved in collecting and analyzing administrative records. Numerous real-world examples highlight technological and statistical innovations, helping readers gain a better understanding of both fundamental methods and advanced techniques for controlling data quality reducing total survey error. Divided into four sections, the first describes the basics of administrative records research and addresses disclosure limitation and confidentiality protection in linked data. Section two focuses on data quality and linking methodology, covering topics such as quality evaluation, measuring and controlling for non-consent bias, and cleaning and using administrative lists. The third section examines the use of administrative records in surveys and includes case studies of the Swedish register-based census and the administrative records applications used for the US 2020 Census. The book’s final section discusses combining administrative and survey data to improve income measurement, enhancing health surveys with data linkage, and other uses of administrative data in evidence-based policymaking. This state-of-the-art resource: Discusses important administrative data issues and suggests how administrative data can be integrated with more traditional surveys Describes practical uses of administrative records for evidence-driven decisions in both public and private sectors Emphasizes using interdisciplinary methodology and linking administrative records with other data sources Explores techniques to leverage administrative data to improve the survey frame, reduce nonresponse follow-up, assess coverage error, measure linkage non-consent bias, and perform small area estimation. Administrative Records for Survey Methodology is an indispensable reference and guide for statistical researchers and methodologists in academia, industry, and government, particularly census bureaus and national statistical offices, and an ideal supplemental text for undergraduate and graduate courses in data science, survey methodology, data collection, and data analysis methods.
Download or read book Statistical Learning and Data Science written by Mireille Gettler Summa and published by CRC Press. This book was released on 2011-12-19 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data analysis is changing fast. Driven by a vast range of application domains and affordable tools, machine learning has become mainstream. Unsupervised data analysis, including cluster analysis, factor analysis, and low dimensionality mapping methods continually being updated, have reached new heights of achievement in the incredibly rich data wor
Download or read book Principles of Data Science written by Hamid R. Arabnia and published by Springer Nature. This book was released on 2020-07-08 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides readers with a thorough understanding of various research areas within the field of data science. The book introduces readers to various techniques for data acquisition, extraction, and cleaning, data summarizing and modeling, data analysis and communication techniques, data science tools, deep learning, and various data science applications. Researchers can extract and conclude various future ideas and topics that could result in potential publications or thesis. Furthermore, this book contributes to Data Scientists’ preparation and to enhancing their knowledge of the field. The book provides a rich collection of manuscripts in highly regarded data science topics, edited by professors with long experience in the field of data science. Introduces various techniques, methods, and algorithms adopted by Data Science experts Provides a detailed explanation of data science perceptions, reinforced by practical examples Presents a road map of future trends suitable for innovative data science research and practice
