Search engine for discovering works of Art, research articles, and books related to Art and Culture
Javascript must be enabled to continue!
Capturing the volatility smile: parametric volatility models versus stochastic volatility models
View through CrossRef
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility. However, instead of a flat implied volatility structure, implied volatility (inverting the Black-Scholes formula) shows a smile shape across strikes and time to maturity. This paper compares parametric volatility models with stochastic volatility models in capturing this volatility smile. Results show empirical evidence in favor of parametric volatility models.
Keywords: smile volatility, parametric, stochastic, Black-Scholes. JEL Classification: C14 C68 G12 G13
Title: Capturing the volatility smile: parametric volatility models versus stochastic volatility models
Description:
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility.
However, instead of a flat implied volatility structure, implied volatility (inverting the Black-Scholes formula) shows a smile shape across strikes and time to maturity.
This paper compares parametric volatility models with stochastic volatility models in capturing this volatility smile.
Results show empirical evidence in favor of parametric volatility models.
Keywords: smile volatility, parametric, stochastic, Black-Scholes.
JEL Classification: C14 C68 G12 G13.
Related Results
PERBEDAAN JENIS SENYUM ANTARA LAKI-LAKI DAN PEREMPUAN BERDASARKAN BENTUK LENGKUNG SENYUM PADA SISWA SMK NEGERI 6 PADANG
PERBEDAAN JENIS SENYUM ANTARA LAKI-LAKI DAN PEREMPUAN BERDASARKAN BENTUK LENGKUNG SENYUM PADA SISWA SMK NEGERI 6 PADANG
Smile is one of the facial expression that are essential in expressing friendliness, agreement, and appreciation. Most patients that come to dentist to have treatment for an attrac...
ARE THE GINGIVAL DISPLAY AND THE SMILE ARC IN MALES AND FEMALES DIFFERENT?
ARE THE GINGIVAL DISPLAY AND THE SMILE ARC IN MALES AND FEMALES DIFFERENT?
Highlights
Gingival display and smile arc enhance the aesthetic value of a person's smile and may be influenced through dental treatment.
The individual profile photographs taken ...
Assessment of smile architecture and pink aesthetics: A successful methodology in cosmetic dentistry
Assessment of smile architecture and pink aesthetics: A successful methodology in cosmetic dentistry
Abstract
Objective: Aesthetic restorative treatment plays a very essential role in smile appearance. The aim of this study is to assess smile architecture and periodontiu...
Lip position in the smile aesthetic: Literature review
Lip position in the smile aesthetic: Literature review
Objective: Determine the lip position influence on dental aesthetics in adults older than 19 years according to academic publications in the last 5 years. Material and methods: A s...
Orthodontists’ and laypeople’s perception of smile height aesthetics in relation to varying degrees of transverse cant of anterior teeth
Orthodontists’ and laypeople’s perception of smile height aesthetics in relation to varying degrees of transverse cant of anterior teeth
Abstract
Aims
To determine the effect of varying the transverse cant of the anterior teeth on orthodontists’ and laypeopl...
Relationship between Smile Type and Periodontal Phenotype: A Clinical Cross-sectional Study
Relationship between Smile Type and Periodontal Phenotype: A Clinical Cross-sectional Study
Abstract
Objectives:
To assess the relationship between smile category and periodontal makeup.
Materials and Me...
Smile-related oral characteristics in vietnamese students
Smile-related oral characteristics in vietnamese students
Aim: We evaluated various oral features related to the smile among Vietnamese students. Additionally,
we identified gender differences in the oral features and the prevalence of at...
Five-year results of refractive outcomes and vision-related quality of life after SMILE for the correction of high myopia
Five-year results of refractive outcomes and vision-related quality of life after SMILE for the correction of high myopia
AIM: To evaluate the long-term visual, refractive outcomes and vision-related quality of life after small incision lenticule extraction (SMILE) for the correction of high myopia.
M...