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Více informací o knize Risk Neutral Stochastic Implied Volatility Model and Applications

• Parametry knihy
• Anotace
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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics

• Plný název: Risk Neutral Stochastic Implied Volatility Model and Applications
• Autor: Peng() He ()
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 68
• EAN: 9783639176261
• ISBN: 9783639176261
• ID: 06262304
• Nakladatelství: VDM Verlag
• Hmotnost: 134 g
• Rozměry: 228 × 155 × 4 mm
• Datum vydání: 17. July 2009

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