Deterministic implied volatility models

DOI10.1088/1469-7688/2/1/303MaRDI QIDQ4646768zbMATH OpenOpenAlexFDO

Authors Philippe Balland

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/2/1/303

zbMATH Keywords

Black-Scholes modeldeterministic volatility modelsinterest rateLevy processesportfolios of vanilla options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• A market model for stochastic implied volatility
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')
• Complete Models with Stochastic Volatility
• Stochastic implied volatility. A factor-based model.

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Cited in

(8)

• Stochastic implied volatility. A factor-based model.
• The stock implied volatility and the implied dividend volatility
• Implied volatility functions in arbitrage-free term structure models.
• Deterministic volatility models and dynamics of option returns
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')
• Dynamics of implied volatility surfaces
• Pricing of index options under a minimal market model with log-normal scaling

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