Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model [0.03%]
利用3/2模型的封闭型部分变换定价定时期权和价格差异衍生产品
Wendong Zheng,Pingping Zeng
Wendong Zheng
Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to ...
Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models [0.03%]
小期限渐近线法在Lévy模型的价内隐含波动率斜率中的应用
Stefan Gerhold,I Cetin Gülüm,Arpad Pinter
Stefan Gerhold
We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As...