Dynamics of implied volatility surfaces
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- scientific article; zbMATH DE number 1538078
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- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- The dynamics of implied volatilities: a common principal components approach
- The dynamics of the S\&P 500 implied volatility surface
- The pricing of options and corporate liabilities
Cited in
(65)- Implied volatility smoothing at COVID-19 times
- Dynamics of implied volatility surfaces
- Hedging With Linear Regressions and Neural Networks
- Implied volatility in oil markets
- A long-term model of the dynamics of the S\&P500 implied volatility surface
- A neural network approach to understanding implied volatility movements
- It only takes a few moments to hedge options
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- Arbitrage-Free Neural-SDE Market Models
- The dynamics of implied volatilities: a common principal components approach
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- A new class of multidimensional Wishart-based hybrid models
- Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
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- Option-implied volatility spillover indices for FX risk factors
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- Dynamics of foreign exchange implied volatility and implied correlation surfaces
- Option pricing in sandwiched Volterra volatility model
- Implied volatility and state price density estimation: arbitrage analysis
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- Maturity cycles in implied volatility
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- Delta-hedging vega risk?
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- HARA utility maximization in a Markov-switching bond-stock market
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- Some recent developments in stochastic volatility modelling
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- Physics-informed convolutional transformer for predicting volatility surface
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