MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX

DOI10.1142/S0219024911006681MaRDI QIDQ5198953zbMATH OpenFDO

Authors

Publication date 10 August 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024911006681

zbMATH Keywords

model-free implied volatility indexvariance swapsvolatility forecastingvolatility surface

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Tale of Two Time Scales
• Can the implied volatility surface move by parallel shifts?
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
• Microstructure Noise, Realized Variance, and Optimal Sampling
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited in

(13)

• Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX index
• Model-free stochastic collocation for an arbitrage-free implied volatility. I.
• Asymptotic expansion formula of option price under multifactor Heston model
• Understanding the implied volatility surface for options on a diversified index
• Arbitrage-free SVI volatility surfaces
• On Estimation of Volatility Surface and Prediction of Future Spot Volatility
• scientific article; zbMATH DE number 5524714 (Why is no real title available?)
• Implicit expectiles and measures of implied volatility
• scientific article; zbMATH DE number 6961166 (Why is no real title available?)
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
• Implied volatility surfaces: a comprehensive analysis using half a billion option prices
• A two-step framework for arbitrage-free prediction of the implied volatility surface

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