Explain the deterministic volatility in an option-pricing
Explain the deterministic volatility in an option-pricing.
Expert
The deterministic volatility surfaces is the concept that volatility is not constant, or though, only a function of time, but an identified function of stock price and time, σ(S, t). Now there the word ‘known’ is a bit misleading. What we really understand are the market prices of vanilla options, a snapshot at one immediate in time. Now we should figure out the correct function σ(S, t) that the theoretical value of our options matches the market prices. It is mathematically an inverse problem; essentially get the parameter, knowing several solutions, volatility and market prices. That model may capture the volatility surface exactly at an instant in time, but this does an extremely poor job of capturing the dynamics, which is, how the data change along with time.
Normal 0 false false
What are the difference between complete market and binomial model?
What is the weight in the weighted average cost of capital?
How is Sortino Ratio Work?
Determine the efficiency of Monte Carlo method.
Explain the programme of study of finite differences.
Presently, the spot exchange rate is $1.50/£ and the three-month forward exchange rate is $1.52/£. The interest rate of three month is equal to 8.0% per annum in the U.S. & 5.8% per annum in the U.K. One can borrow as much as $1,500,000 o
In brief define each of the major types of international bond market instruments, noting their distinguishing characteristics.The major kind of international bond instruments & their distinguishing characteristics are as follows:
18,76,764
1953277 Asked
3,689
Active Tutors
1426726
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!