Arbitrage-free smoothing of the implied volatility surface

DOI10.1080/14697680802595585zbMath1182.91172OpenAlexW2119074269MaRDI QIDQ3404099

Matthias R. Fengler

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22137

zbMATH Keywords

local volatilityimplied volatility surfaceno-arbitrage constraintscubic spline smoothing

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (35)

Modeling and implementation of local volatility surfaces in Bayesian framework ⋮ Arbitrage-free approximation of call price surfaces and input data risk ⋮ Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints ⋮ Determining and benchmarking risk neutral distributions implied from option prices ⋮ Inference and Computation for Sparsely Sampled Random Surfaces ⋮ Calibration to American options: numerical investigation of the de-Americanization method ⋮ Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces ⋮ Parametric modeling of implied smile functions: a generalized SVI model ⋮ Arbitrage-free interpolation of call option prices ⋮ Local volatility of volatility for the VIX market ⋮ \(\ell_1\)-constrained implied transition densities ⋮ Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Novel computational technique for the direct estimation of risk-neutral density using call price data quotes ⋮ Pricing autocallables under local-stochastic volatility ⋮ Bayesian uncertainty quantification of local volatility model ⋮ A two-step framework for arbitrage-free prediction of the implied volatility surface ⋮ Asymmetric short-rate model without lower bound ⋮ Delta hedging bitcoin options with a smile ⋮ Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility ⋮ Adiabaticity conditions for volatility smile in Black-Scholes pricing model ⋮ Option-implied information: What's the vol surface got to do with it? ⋮ CONIC CVA AND DVA FOR OPTION PORTFOLIOS ⋮ On extracting information implied in options ⋮ Implied volatility and state price density estimation: arbitrage analysis ⋮ NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES ⋮ Generalized Arbitrage-Free SVI Volatility Surfaces ⋮ Generative Bayesian neural network model for risk-neutral pricing of American index options ⋮ Detecting and Repairing Arbitrage in Traded Option Prices ⋮ Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails ⋮ Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints ⋮ Smooth and bid-offer compliant volatility surfaces under general dividend streams ⋮ Arbitrage-free SVI volatility surfaces ⋮ VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

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