Browsing University of Waterloo by Subject "volatility smile"
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Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement
(University of Waterloo, 2011-01-20)While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences ... -
Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
(University of Waterloo, 2012-08-23)The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ...