In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
-
Notifications
You must be signed in to change notification settings - Fork 2
In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
Kaizhang48/Monte-Carlo-method-to-price-European-Call-Option-with-implementation-of-GARCH-1-1-on-Volitility
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
Name | Name | Last commit message | Last commit date | |
---|---|---|---|---|
Repository files navigation
About
In this model, Volatility is no longer a constant but a R.V. After pricing the option, secant method is used to calculate the implied volatility and plot the results with the option’s strike on the horizontal axis and the implied volatility on the vertical axis. The graph shows "Volatility smile" which is consistent to the real world
Resources
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published