This paper proposes a novel Bayesian kernel model that can forecast the non-negative
distribution of target option prices, which are constrained to be positive. The method utilizes …

In this paper, we propose a novel intelligent method to improve the calibration quality of
parametric exponential Lévy models that have recently emerged as alternative option …

In this paper, we introduce the implied volatility from Black-Scholes model and suggest a
model for constructing implied volatility surfaces by using the two-dimensional cubic (bi …

In this paper, we propose a method to provide the distribution of option price under local
volatility model when market-provided implied volatility data are given. The local volatility …

A lot of researches have been conducted to estimate the volatility smile effect shown in the
option market. This paper proposes a method to approximate an implied volatility function …

ThecelebratedBlack-Scholes (BS) modelisamostacceptablewayamongstmark…
toexplainthe'fair'valueofanoption. Inordertousethismodel, weshouldbegivenfoureasily …