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Implied Volatility Functions
Language: en
Pages: 36
Authors: Bernard Dumas
Categories:
Type: BOOK - Published: 2012 - Publisher:

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Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), D
Implied Volatility Functions
Language: en
Pages: 21
Authors: Joshua V. Rosenberg
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Dumas, Fleming, Whaley (DFW, 1998) find that option models based on deterministic volatility functions (DVF) perform poorly because the estimated volatility fun
Implied Volatility Functions
Language: en
Pages: 14
Authors: Joshua Rosenberg
Categories: Options (Finance)
Type: BOOK - Published: 1999 - Publisher:

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Implied Volatility Functions
Language: en
Pages: 72
Authors: Veli-Matti Ahoranta
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Type: BOOK - Published: 2010-12 - Publisher: LAP Lambert Academic Publishing

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Evidences that there are volatility smiles and smirks in various financial markets suggest that Black and Scholes (1973) valuation formula is not completely val
Implied Volatility Functions for One-factor and Two-factor Heath, Jarrow and Morton Models
Language: en
Pages: 253
Authors: I-Doun Terry Kuo
Categories:
Type: BOOK - Published: 2002 - Publisher:

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