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文章基本信息

  • 标题:Significance of Volatility in Option Pricing
  • 本地全文:下载
  • 作者:Pochea Maria-Miruna ; Filip Angela-Maria
  • 期刊名称:Ovidius University Annals: Economic Sciences Series
  • 电子版ISSN:2393-3127
  • 出版年度:2013
  • 卷号:13
  • 期号:1
  • 语种:English
  • 出版社:Ovidius University Press
  • 摘要:This paper examines the significance of volatility in option pricing considering that the option’s theoretical price depends on the accuracy of this parameter’s estimation. One of the assumptions of Black-Scholes model according to which the volatility is a constant parameter and may be determined based on historical data is not realistic. Thus it is considered that a more appropriate estimate of volatility is implied volatility. This study investigates the correlation between implied volatility and strike price known as volatility smile and the relationship between volatility and option’ s maturity – the volatility term structure. Testing these correlations on the Romanian options market is quite difficult because of the low market’s liquidity.
  • 关键词:volatility smile;volatility skew;volatility term structure;volatility surface.
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