Arbitrage-free smoothing of the implied volatility surface
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Recommendations
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- scientific article; zbMATH DE number 48302 (Why is no real title available?)
- Identifying the volatility of underlying assets from option prices
- Local martingales, bubbles and option prices
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- Martingales and arbitrage in multiperiod securities markets
- Nonparametric option pricing under shape restrictions
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- On extracting information implied in options
- Pricing American options fitting the smile.
- Shape constrained smoothing using smoothing splines
- Smoothing Splines and Shape Restrictions
- Stochastic Volatility for Lévy Processes
Cited in
(57)- Shape-preserving interpolation and smoothing for options market implied volatility
- Modeling and implementation of local volatility surfaces in Bayesian framework
- Implied volatility and state price density estimation: arbitrage analysis
- Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
- Arbitrage-free interpolation of call option prices
- Option-implied information: What's the vol surface got to do with it?
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Parametric modeling of implied smile functions: a generalized SVI model
- Semiparametric modeling of implied volatility.
- Implied volatility functions in arbitrage-free term structure models.
- Generalized arbitrage-free SVI volatility surfaces
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Smooth and bid-offer compliant volatility surfaces under general dividend streams
- Arbitrage-free SVI volatility surfaces
- Arbitrage-free approximation of call price surfaces and input data risk
- Moving least squares for arbitrage-free price and volatility surfaces
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
- Determining and benchmarking risk neutral distributions implied from option prices
- Local volatility of volatility for the VIX market
- Calibration to American options: numerical investigation of the de-americanization method
- Detecting and repairing arbitrage in traded option prices
- Inference and Computation for Sparsely Sampled Random Surfaces
- No arbitrage SVI
- CONIC CVA AND DVA FOR OPTION PORTFOLIOS
- Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
- MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
- Nonparametric estimates of option prices and related quantities
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- \(\ell_1\)-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
- Simulation of Arbitrage-Free Implied Volatility Surfaces
- 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
- Arbitrage-free call option surface construction using regression splines
- Foreign exchange rate volatility smiles and smirks
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
- Volatility parametrizations with random coefficients: analytic flexibility for implied volatility surfaces
- A market resilient data-driven approach to option pricing
- Fuzzy Esscher changes of measure and copula invariance in Lévy markets
- Arbitrage filtering of option prices: a simple real-time approach
- The McCormick martingale optimal transport
- A multivariate stochastic volatility model with generalized factor dynamics
- Risk-neutral generative networks
- Structural properties of multi-period martingale optimal transport problems and applications
- Joint arbitrage-free smoothing of American call and put options surfaces
- Constrained Probabilistic Numerics: Gaussian Process Solvers for Linear PDEs under Linear Inequality Constraints
- On extracting information implied in options
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