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 A Risk Neutral Stochastic Implied Volatility Model and Applications. The Dynamics of At-the-Money Implied Volatility with its Applications
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A Risk Neutral Stochastic Implied Volatility Model and Applications. The Dynamics of At-the-Money Implied Volatility with its Applications

автор Peng(?) H.(. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 68        мягкая обложка       
Аннотация:The monograph should be helpful for option traders, and should be especially useful for graduate students and researcher in financial math field. Skew curve and terminal underlying price distribution are studied. 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. Three characteristics of implied volatility are presented. 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 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. Monte Carlo simulation is used to simulate the complex whole system.
Автор: Peng(?) H.(.
Издательство: Книга по Требованию
Год:2009
Цена:
1996 руб
Нет в наличии
Поиск: A Risk Neutral Stochastic Implied Volatility Model and Applications. The Dynamics of At-the-Money Implied Volatility with its Applications
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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Работа над английскими текстами "Prices and markets", "Price and...

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