Kontakt
Kako kupovati
Dostava
Savjetnik za kupnju
Risk Neutral Stochastic Implied Volatility Model and Applications
Engleski
125 b
Do 30 dana za povrat
Kupci su kupili i
/
Meki uvez
42.68
€
/
Meki uvez
9.38
€
/
Meki uvez
30.97
€
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.
Informacije o knjizi
Engleski
Kategorija
Poklonite ovu knjigu još danas
To je jednostavno
1 Dodajte knjigu u košaricu i odaberite isporuku kao poklon 2 Zauzvrat ćemo vam poslati kupon 3 Knjiga dolazi na adresu poklonoprimcaMoglo bi vas zanimati i
/
Meki uvez
16.64
€
/
Meki uvez
8.57
€
/
Meki uvez
24.11
€
Dobar dan! Ja sam Libroamiko, vaš književni savjetnik.
Kako vam mogu pomoći?