Matches in SemOpenAlex for { <https://semopenalex.org/work/W1640695810> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W1640695810 endingPage "144" @default.
- W1640695810 startingPage "124" @default.
- W1640695810 abstract "Abstract Empirical evidence shows that, in equity options markets, the slope of the skew is largely independent of the volatility level. Single‐factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic skew. This study studies the effects of introducing stochastic skew in the valuation of forward skew dependent exotic options. In particular, I consider cliquet, as well as reverse cliquet structures. The study also derives a semi‐closed‐form solution for the price of forward‐start options under the multifactor stochastic specification. The empirical results indicate that the consideration of additional volatility factors in the context of stochastic volatility models allows us to generate more flexible smile patterns. This additional flexibility has a relevant impact on the valuation of forward skew dependent derivatives. In this sense, this study shows that similar calibrations of single factor and multifactor stochastic volatility models to the current market prices of plain vanilla options can lead to important discrepancies in the pricing of exotic forward skew dependent derivatives such as regular cliquet structures and reverse cliquet options. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:124–144, 2014" @default.
- W1640695810 created "2016-06-24" @default.
- W1640695810 creator A5005541380 @default.
- W1640695810 date "2013-02-25" @default.
- W1640695810 modified "2023-10-09" @default.
- W1640695810 title "Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models" @default.
- W1640695810 cites W1480459000 @default.
- W1640695810 cites W2037891356 @default.
- W1640695810 cites W2064978316 @default.
- W1640695810 cites W2073476019 @default.
- W1640695810 cites W2077791698 @default.
- W1640695810 cites W2106154424 @default.
- W1640695810 cites W2118574463 @default.
- W1640695810 cites W2151065060 @default.
- W1640695810 cites W2162499457 @default.
- W1640695810 cites W2465624924 @default.
- W1640695810 cites W3012274919 @default.
- W1640695810 cites W3121574170 @default.
- W1640695810 cites W3122434727 @default.
- W1640695810 cites W3123180977 @default.
- W1640695810 cites W3124350762 @default.
- W1640695810 cites W3124413522 @default.
- W1640695810 doi "https://doi.org/10.1002/fut.21611" @default.
- W1640695810 hasPublicationYear "2013" @default.
- W1640695810 type Work @default.
- W1640695810 sameAs 1640695810 @default.
- W1640695810 citedByCount "6" @default.
- W1640695810 countsByYear W16406958102014 @default.
- W1640695810 countsByYear W16406958102015 @default.
- W1640695810 countsByYear W16406958102016 @default.
- W1640695810 countsByYear W16406958102019 @default.
- W1640695810 countsByYear W16406958102020 @default.
- W1640695810 crossrefType "journal-article" @default.
- W1640695810 hasAuthorship W1640695810A5005541380 @default.
- W1640695810 hasBestOaLocation W16406958101 @default.
- W1640695810 hasConcept C10138342 @default.
- W1640695810 hasConcept C117996083 @default.
- W1640695810 hasConcept C13290067 @default.
- W1640695810 hasConcept C149782125 @default.
- W1640695810 hasConcept C162324750 @default.
- W1640695810 hasConcept C17744445 @default.
- W1640695810 hasConcept C186027771 @default.
- W1640695810 hasConcept C187625094 @default.
- W1640695810 hasConcept C192620184 @default.
- W1640695810 hasConcept C194483076 @default.
- W1640695810 hasConcept C199539241 @default.
- W1640695810 hasConcept C199728807 @default.
- W1640695810 hasConcept C24189920 @default.
- W1640695810 hasConcept C2777284652 @default.
- W1640695810 hasConcept C41008148 @default.
- W1640695810 hasConcept C43711488 @default.
- W1640695810 hasConcept C76155785 @default.
- W1640695810 hasConcept C85393063 @default.
- W1640695810 hasConcept C91602232 @default.
- W1640695810 hasConceptScore W1640695810C10138342 @default.
- W1640695810 hasConceptScore W1640695810C117996083 @default.
- W1640695810 hasConceptScore W1640695810C13290067 @default.
- W1640695810 hasConceptScore W1640695810C149782125 @default.
- W1640695810 hasConceptScore W1640695810C162324750 @default.
- W1640695810 hasConceptScore W1640695810C17744445 @default.
- W1640695810 hasConceptScore W1640695810C186027771 @default.
- W1640695810 hasConceptScore W1640695810C187625094 @default.
- W1640695810 hasConceptScore W1640695810C192620184 @default.
- W1640695810 hasConceptScore W1640695810C194483076 @default.
- W1640695810 hasConceptScore W1640695810C199539241 @default.
- W1640695810 hasConceptScore W1640695810C199728807 @default.
- W1640695810 hasConceptScore W1640695810C24189920 @default.
- W1640695810 hasConceptScore W1640695810C2777284652 @default.
- W1640695810 hasConceptScore W1640695810C41008148 @default.
- W1640695810 hasConceptScore W1640695810C43711488 @default.
- W1640695810 hasConceptScore W1640695810C76155785 @default.
- W1640695810 hasConceptScore W1640695810C85393063 @default.
- W1640695810 hasConceptScore W1640695810C91602232 @default.
- W1640695810 hasIssue "2" @default.
- W1640695810 hasLocation W16406958101 @default.
- W1640695810 hasOpenAccess W1640695810 @default.
- W1640695810 hasPrimaryLocation W16406958101 @default.
- W1640695810 hasRelatedWork W1545928614 @default.
- W1640695810 hasRelatedWork W1568116564 @default.
- W1640695810 hasRelatedWork W2088568893 @default.
- W1640695810 hasRelatedWork W2170152032 @default.
- W1640695810 hasRelatedWork W2490715043 @default.
- W1640695810 hasRelatedWork W2722612024 @default.
- W1640695810 hasRelatedWork W2969625923 @default.
- W1640695810 hasRelatedWork W3121428450 @default.
- W1640695810 hasRelatedWork W3122176587 @default.
- W1640695810 hasRelatedWork W3122238840 @default.
- W1640695810 hasVolume "34" @default.
- W1640695810 isParatext "false" @default.
- W1640695810 isRetracted "false" @default.
- W1640695810 magId "1640695810" @default.
- W1640695810 workType "article" @default.