相关论文: Beyond implied volatility

We consider the problem of evaluating the performance of a decision policy using past observational data. The outcome of a policy is measured in terms of a loss (aka. disutility or negative reward) and the main problem is making valid…

We present a new strategic voting model where we use uncertainty representation to model preferences. Specifically, we use probability sets as uncertainty representations, together with lower and upper expected utility gains to take…

We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…

The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…

The recent explosion in the amount and dimensionality of data has exacerbated the need of trading off computational and statistical efficiency carefully, so that inference is both tractable and meaningful. We propose a framework that…

We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a…

Consider a regression or some regression-type model for a certain response variable where the linear predictor includes an ordered factor among the explanatory variables. The inclusion of a factor of this type can take place is a few…

While previous sentiment analysis research has concentrated on the interpretation of explicitly stated opinions and attitudes, this work initiates the computational study of a type of opinion implicature (i.e., opinion-oriented inference)…

A wide variety of model explanation approaches have been proposed in recent years, all guided by very different rationales and heuristics. In this paper, we take a new route and cast interpretability as a statistical inference problem. We…

We consider an asset whose risk-neutral dynamics are described by a general class of local-stochastic volatility models and derive a family of asymptotic expansions for European-style option prices and implied volatilities. Our implied…

Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…

Implicit variables of a mathematical program are variables which do not need to be optimized but are used to model feasibility conditions. They frequently appear in several different problem classes of optimization theory comprising bilevel…

In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…

We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted. We give precise estimates of the residual risk…

Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…

In this paper we have devised an alternative methodological approach for quantifying utility in terms of expected information content of the decision-maker's choice set. We have proposed an extension to the concept of utility by…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

This study investigates enhancing option pricing by extending the Black-Scholes model to include stochastic volatility and interest rate variability within the Partial Differential Equation (PDE). The PDE is solved using the finite…