Journal ArticleDOI
Arbitrage-free implied volatility surfaces for options on single stock futures
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TLDR
In this article, the authors construct a market-related arbitrage-free implied volatility surface, by using a quadratic deterministic function, for two stock indices and ten single stock futures.About:
This article is published in The North American Journal of Economics and Finance.The article was published on 2013-12-01. It has received 40 citations till now. The article focuses on the topics: Volatility smile & Forward volatility.read more
Citations
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On the informational efficiency of S&P500 implied volatility
TL;DR: In this article, the authors determine whether a publicly available and commonly used implied volatility index, the VIX index (as published by the Chicago Board of Options Exchange) is in fact substantially more efficient with respect to a wide set of conditioning information.
Journal ArticleDOI
Derivative Markets in Emerging Economies: A Survey
TL;DR: The authors reviewed the literature on derivatives in emerging markets and classified these topics based on the generally recognized functions of derivative markets and restrict the review to the set of top journals in finance and those that specialize on emerging markets or derivatives.
Journal ArticleDOI
Derivative markets in emerging economies: a survey
TL;DR: This paper reviewed the literature on derivatives in emerging markets and classified these topics based on the generally recognized functions of derivative markets and restrict the review to the set of top journals in finance and those that specialize on emerging markets or derivatives.
Journal ArticleDOI
To sigmoid-based functional description of the volatility smile
TL;DR: In this paper, a new static parameterization of the implied volatility surface is constructed by using polynomials of sigmoid functions combined with some other terms, which is flexible enough to fit market implied volatilities which demonstrate smile or skew.
References
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Journal ArticleDOI
An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
Thomas F. Coleman,Yuying Li +1 more
TL;DR: In this paper, a trust region approach for minimizing nonlinear functions subject to simple bounds is proposed, where the trust region is defined by minimizing a quadratic function subject only to an ellipsoidal constraint and the iterates generated by these methods are always strictly feasible.
Journal ArticleDOI
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
Thomas F. Coleman,Yuying Li +1 more
TL;DR: This paper establishes that the interior-reflective Newton approach is globally and quadratically convergent, and develops a specific example of interior- reflective Newton methods which can be used for large-scale and sparse problems.
Journal ArticleDOI
Implied Volatility Functions: Empirical Tests
TL;DR: This paper examined the predictive and hedging performance of the DVF option valuation model and found it is no better than an ad hoc procedure that merely smooths Black-Scholes (1973) implied volatilities across exercise prices and times to expiration.
Journal ArticleDOI
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
TL;DR: In this article, a model for pricing American options on jump-diffusion processes with systematic jump risk was derived for the S&P 500 futures options over 1985-1987, showing that out-of-the-money puts became unusually expensive during the year preceding the crash and that implicit distributions were negatively skewed during October 1986 to August 1987.
Book
The Volatility Surface: A Practitioner's Guide
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.