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The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
The current option chain of each of the three market-index ETFs shows of a pronounced skew of their volatility `smile' which indicates a likely distortion in the Black-Scholes modeling of such option data.
On the RND under Heston's stochastic volatility model
In fact, we also show that any RND with mean being the forward spot price that satisfies Hestons' option valuation solution, must be a member of a scale-family of distributions in that mean.
How much is your Strangle worth? On the relative value of the $δ-$Symmetric Strangle under the Black-Scholes model
We show that under the standard BS option pricing model, this measure of relative value is bounded by a simple function of delta only and is independent of the time to expiry, the price of the underlying security or the prevailing volatility used in the pricing model.
Optimal Nonparametric Inference via Deep Neural Network
Sufficient conditions on network architectures are provided such that the upper bounds become optimal (without log-sacrifice).
