Proceedings of the 2018 4th International Conference on Humanities and Social Science Research (ICHSSR 2018)

The Statistical Analysis of Implied Parameters for Derivatives Pricing

Authors
Yuan Yang
Corresponding Author
Yuan Yang
Available Online May 2018.
DOI
10.2991/ichssr-18.2018.31How to use a DOI?
Keywords
project, risk-free, approach
Abstract

This project examines estimation of two unconditional implied parameters of diffusion market models across different strike prices of options. The standard implied volatility is conditional on the future movements of average risk-free interest rate. Both of implied volatility and implied average risk-free interest rate are unknown and required to be calculated. However, the unconditional implied volatility and implied average risk-free interest rate can be found by solving a system of two equations. Then, the various volatility similes or skews can be generated under this approach. Furthermore, it examines the implied parameters and volatility smiles or skews by extracting the historical data from market.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 4th International Conference on Humanities and Social Science Research (ICHSSR 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
May 2018
ISBN
978-94-6252-509-2
ISSN
2352-5398
DOI
10.2991/ichssr-18.2018.31How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yuan Yang
PY  - 2018/05
DA  - 2018/05
TI  - The Statistical Analysis of Implied Parameters for Derivatives Pricing
BT  - Proceedings of the 2018 4th International Conference on Humanities and Social Science Research (ICHSSR 2018)
PB  - Atlantis Press
SP  - 154
EP  - 159
SN  - 2352-5398
UR  - https://doi.org/10.2991/ichssr-18.2018.31
DO  - 10.2991/ichssr-18.2018.31
ID  - Yang2018/05
ER  -