Implied Volatility Surface Estimation via Quantile Regularization

DOI10.1007/978-3-030-48814-7_4zbMath1455.62204OpenAlexW3043454505MaRDI QIDQ5141229

Michal Pešta, Sebastiano Vitali, Matúš Maciak

Publication date: 18 December 2020

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-48814-7_4

zbMATH Keywords

optionsquantile regressionpanel dataLasso regularizationimplied volitility

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Causal inference from observational studies (62D20)

Related Items (1)

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Cites Work

• The Pricing of Options and Corporate Liabilities
• Changepoint estimation for dependent and non-stationary panels.
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• On extracting information implied in options
• Implied volatility and state price density estimation: arbitrage analysis
• Changepoint in dependent and non-stationary panels
• Changepoint detection by the quantile Lasso method
• Structural change estimation in time series regressions with endogenous variables
• Regularization techniques in joinpoint regression
• Semiparametric modeling of implied volatility.
• Structural breaks in dependent, heteroscedastic, and extremal panel data
• A group bridge approach for variable selection
• Change‐point detection in a linear model by adaptive fused quantile method
• Multiple Change-Point Estimation With a Total Variation Penalty

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