The Statistical Analysis of Implied Parameters for Derivatives Pricing
Available Online May 2018.
- https://doi.org/10.2991/ichssr-18.2018.31How to use a DOI?
- project, risk-free, approach
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
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 - 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 - https://doi.org/10.2991/ichssr-18.2018.31 ID - Yang2018/05 ER -