Risk Neutral Stochastic Implied Volatility Model and Applications

Name: Risk Neutral Stochastic Implied Volatility Model and Applications
Brand: VDM Verlag
SKU: 9783639176261
Price: 273.57 RON
Availability: InStock

Autor: Peng() He ()

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Editura: VDM Verlag

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The dynamics of smile surface lead practitioner and§researcher to introduce the randomness in the im...

Informații despre carte

Autor

Peng() He ()

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2009

Pagini

EAN

9783639176261

ISBN

9783639176261

Enbook ID

06262304

Editura

VDM Verlag

Greutate

134

Dimensiuni

155 x 228 x 4

Descriere completă

The dynamics of smile surface lead practitioner and§researcher to introduce the randomness in the implied§volatility, which is are specific in option markets. §The monograph develops a risk-neutral stochastic At-§the-Money implied volatility model and its §applications. Three characteristics of implied §volatility are presented. After the proper model §setup, the risk-neutral drift term of stochastic §implied volatility is derived, which is necessary to §be no-arbitrage. We proved that the implied §volatility of At-the-Money options mature §immediately should converge to underlying volatility §at the rate of time to maturity, which specifies the §stochastic process of underlying volatility. Monte §Carlo simulation is used to simulate the complex §whole system. Skew curve and terminal underlying §price distribution are studied. The two model §parameters are able to explain market skew phenomena §quite well. Barrier option is priced and future §implied volatility is forecast off the simulation. §The monograph should be helpful for option traders, §and should be especially useful for graduate §students and researcher in financial math field.

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Risk Neutral Stochastic Implied Volatility Model and Applications

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