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Mike Tehranchi

Mike Tehranchi

Title of research: Call price surface models

Call price surface models. It is well-known that the risk-neutral distribution of the future price of a given asset can be recovered from the current prices (or equivalently, implied volatilities) of call options written on that asset of various strike prices and maturity dates. Risk-neutral distributions are used by financial practitioners to price and hedge derivative contingent claims. Call prices can be analysed via a certain mathematical transformation, giving rise to a novel, yet very tractable, family of arbitrage-free call surfaces. This transformation will be used to understand various features of the implied volatility smile, such as the skew and shape of the wings, as well as its dynamics.

Project Update - August 2019

Project Update - April 2019

Project Update - August 2018


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CERF Fellow Dr. Bang Dang Nguyen - paper will be presented at the AFA Annual Meeting 2020 in San Diego

Sep 26, 2019

Political Connections and Firm Value: Evidence from Close Gubernatorial Elections, joint with Q.A. Do (SciencesPo Paris) and Yen-Teik Lee (Curtin University), is accepted and will be presented at the AFA Annual Meeting 2020 in San Diego.

CERF Scholar Shiqi Chen presented her paper at Leeds University Business School

Jun 28, 2019

Shiqi Chen presented her paper entitled “Financial Policies and Internal Governance with Heterogeneous Risk Preferences” (joint with Bart Lambrecht) in the Accounting and Finance seminar at Leeds University Business School, the Finance seminar at Essex Business School, CERF Lunch Seminar at Cambridge Judge Business School, and at the 2019 Annual Real Options Conference in London.

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