Advanced Search
MyIDEAS: Login

Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab

Contents:

Author Info

  • Francois-Éric Racicot

    ()
    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    ()
    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First of all, this article, whose purpose is very empirical, presents a simulation of stochastic volatility programmed in Visual Basic (Excel) whose aim is to compute the price of an European option written on a zero coupon bond. We compare this computed price with this one resulting from Black analytical solution and we also show how to compute an interest rate forecast with the help of the simulation model. Then we write many Visual Basic and Matlab programs for the purpose of computing the implicit volatility surface, a three-dimensional surface which can be plotted by using graphical capacities of Excel and Matlab. It remains that the concept of implicit volatility is very criticised because it is computed with the exercise price of an option and not with the price of the underlying, as it should be. Therefore, there are biases in the estimation of the «greeks» computed with implicit volatility.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlevolatiliteimpliciteFERRTJanvier2007.pdf
File Function: First version, 2007
Download Restriction: no

Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp012007.

as in new window
Length: 23 pages
Date of creation: 01 Jan 2007
Date of revision:
Handle: RePEc:pqs:wpaper:012007

Contact details of provider:
Postal: Pavillon Lucien Brault, 101 rue Saint Jean-Bosco, Gatineau (Québec) J8Y 3G5
Phone: (819) 595-3900
Fax: (819) 773-1747
Web page: http://www.repad.org/
More information through EDIRC

Related research

Keywords: Financial engineering; Monte Carlo simulation; stochastic volatility; implicit volatility.;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pqs:wpaper:012007. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Calmes).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.