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Zoekopdracht: faculteit: "FNWI" en publicatiejaar: "2012"

AuteursG. Qiu, D. Kandhai, N.F. Johnson, P.M.A. Sloot
TitelUnderstanding complex dynamics in derivatives finance: why do options markets smile?
TijdschriftAdvances in Complex Systems
Jaargang15
Jaar2012
Nummer5
Pagina's19
ISSN02195259
FaculteitFaculteit der Natuurwetenschappen, Wiskunde en Informatica
Instituut/afd.FNWI: Informatics Institute (II)
SamenvattingThe 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.
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