The Statistical Analysis of Implied Parameters for Derivatives Pricing

DOI

https://doi.org/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.

Open Access

This is an open access article distributed under the CC BY-NC license.

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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  -