Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorQiu, G.en
dc.contributor.authorKandhai, D.en
dc.contributor.authorJohnson, N. F.en
dc.contributor.authorSloot, Peter M. A.en
dc.identifier.citationQiu, G., KanDhai, D., Johnson, N. F., & Sloot, P. M. A. (2012). Understanding complex dynamics in derivatives finance : why do options markets smile?. Advances in Complex Systems, 15(7).en
dc.description.abstractThe origin of the volatility smile phenomenon observed in options markets has eluded the financial world for more than two decades. We provide a new explanation of this phenomenon using a microscopic multi-agent description of markets. In our model individual trading behavior is explicitly included and the prices of the options are determined by demand and supply. Our results reproduce the empirical observations in respect to the shape and dynamic properties of the volatility smile, suggesting that this phenomenon is a natural consequence of traders' heterogeneous behavior and expectations about the future.en
dc.relation.ispartofseriesAdvances in complex systemsen
dc.rights© 2012 World Scientific Publishing Company.en
dc.titleUnderstanding complex dynamics in derivatives finance : why do options markets smile?en
dc.typeJournal Articleen
dc.contributor.schoolSchool of Computer Engineeringen
item.fulltextNo Fulltext-
Appears in Collections:SCSE Journal Articles

Google ScholarTM




Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.