Open AccessPosted Content
A new look at the Heston characteristic function
TL;DR: In this article, a new expression for the characteristic function of log-spot in Heston model is presented, which more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function.
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Abstract: A new expression for the characteristic function of log-spot in Heston model is presented This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function This result is then applied to the volatility smile at extreme strikes and to the control of the moments of spot We also give a factorization of the moment generating function as product of Bessel type factors, and an approximating sequence to the law of log-spot is deduced
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Asymptotics of Implied Volatility to Arbitrary Order
TL;DR: These results sharpen to arbitrarily high order of accuracy (and, moreover, extend to general extreme regimes) the model-free asymptotics of implied volatility.
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Asymptotics of implied volatility to arbitrary order
TL;DR: In this paper, a unified model-free framework that includes long-expiry, short expiry, extreme-strike, and jointly-varying strike expiry regimes is presented, with rigorous error estimates asymptotically smaller than any given power of L, where L denotes the exogenously given absolute log of an option price that approaches zero.
79
Parametric models and non-parametric machine learning models for predicting option prices: Empirical comparison study over KOSPI 200 Index options
TL;DR: The experimental study reveals that non-parametric methods significantly outperform parametric methods on both in- sample pricing and out-of-sample pricing.
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•Dissertation
Evolutionary Algorithms and Computational Methods for Derivatives Pricing
Samuel Palmer
- 28 Feb 2019
TL;DR: The solver presented here provides an energy efficient data-flow implementation for pricing derivatives, which has the potential to be incorporated into larger high-speed/low energy trading systems.
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
TL;DR: In this paper, a closed-form solution for the price of a European call option on an asset with stochastic volatility is derived based on characteristi c functions and can be applied to other problems.
A Theory of the Term Structure of Interest Rates.
TL;DR: In this paper, the authors use an intertemporal general equilibrium asset pricing model to study the term structure of interest rates and find that anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices.
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Continuous martingales and Brownian motion
Daniel Revuz,Marc Yor +1 more
- 01 Jan 1990
TL;DR: In this article, the authors present a comprehensive survey of the literature on limit theorems in distribution in function spaces, including Girsanov's Theorem, Bessel Processes, and Ray-Knight Theorem.
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•Posted Content
A Theory for the Term Structure of Interest Rates
Thomas Alderweireld,Jean Nuyts +1 more
TL;DR: The discretised theoretical distributions matching the empirical data from the Federal Reserve System are deduced from aDiscretised seed which enjoys remarkable scaling laws and may be used to develop new methods for the computation of the value-at-risk and fixed-income derivative pricing.
3.6K
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The Volatility Surface: A Practitioner's Guide
Jim Gatheral
- 28 Aug 2006
TL;DR: In this paper, the Heston-Nandi model is used to model the stock price and volatility in the stock market, and it is shown to be a good fit to the SPX Volatility Surface.
1.1K