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Tagged with best-practices option-pricing
3 questions
1
vote
1
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550
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What models / methods are used in practice in derivative pricing?
I wrote my bachelor thesis about European Option Pricing under Stochastic Volatility and Jump Diffusion and am now near the end of my MSc in Quant Finance. As i want to write a "potential job"-...
- 165
6
votes
1
answer
717
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Extrapolating SVI
In his paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$
$$ w(k) = a + b\{\rho (k-m) + \sqrt{(k-m)^2 + \sigma^2} \}.$$
Assuming that ...
- 199
10
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2
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Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)
The Longstaff-Schwartz LSM approach is nowadays ubiquitous(at least in the academic literature) in pricing path dependant derivatives. Up to now I have mostly worked with lattice methods. My ...
- 3,377