Modeling Volatility and Valuing Derivatives Under Anchoring

Autor:	Daniel J. Duffy, Paul Wilmott, Alan L. Lewis
Rok vydání:	2014
Předmět:	Stochastic volatility Financial economics Volatility swap Econometrics Volatility smile Forward volatility Economics Volatility (finance) Implied volatility SABR volatility model Volatility risk premium
Zdroj:	Wilmott. 2014:48-57
ISSN:	1540-6962
DOI:	10.1002/wilm.10366
Popis:	We develop a complete-markets model with volatility smiles, tractability, and intuitive appeal as an anchoring or habit-formation model. Like traditional stochastic volatility models, it is invariant to a multiplicative scaling of the stock price levels. The anchoring effect is that the volatility depends on the relative value of the current stock price compared to its past history, with an exponential weighting.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::34a572d0b98f91bde8f10f96f30acf2d https://doi.org/10.1002/wilm.10366 Zobrazit plný text záznamu Plný text