Volatility Estimation : Numerical Methods

Language: English

Published by Eliva Press, 2024

9999315860 / 9789999315869

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - These notes have been written with the precisely purpose of summarizing the more often encountered and implemented volatility estimation techniques, to describe the realized volatility surface and its term structure, for example in developing Option Pricing libraries.The common and accepted assumptions behind the random fashion, that each quoted and traded asset follows, there are stochastic differential equations (SDEs) characterized by two main terms: one is the drift and the other one is the diffusion term or volatility. If the drift term is set uniquely by the definition of the martingale measure, imposing the drift's value under such risk neutral measure, to be equal to the free interest rate; on the other side, the diffusion term or volatility is not estimated or defined uniquely. Indeed, the latter is estimated involving several different approaches, that over the time have been developed, trying to catch a better fit with the observed options' quotation.…

Seller Inventory # 9789999315869

Title
Volatility Estimation : Numerical Methods
Author
Mario Dell'Era
Publisher
Eliva Press
Publication year
2024
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
9999315860
ISBN 13
9789999315869
Item weight
189 grams
Dimensions
229x152x7 mm

AHA-BUCH GmbH

Einbeck, Germany

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