Nonparametric estimation for stochastic volatility models
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Cites work
- scientific article; zbMATH DE number 44587 (Why is no real title available?)
- scientific article; zbMATH DE number 2163514 (Why is no real title available?)
- A general version of the fundamental theorem of asset pricing
- A market model for stochastic implied volatility
- Arbitrage-free market models for option prices: the multi-strike case
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Computing the implied volatility in stochastic volatility models
- Convergence of At-The-Money Implied Volatilities to the Spot Volatility
- Coupling smiles
- Local volatility dynamic models
- Risk-neutral compatibility with option prices
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
Cited in
(26)- Option price asymptotics under a stochastic volatility Lévy model with infinite activity jumps
- Computing the SSR
- Forward variance dynamics: Bergomi's model revisited
- Option pricing in the moderate deviations regime
- On the curvature of the smile in stochastic volatility models
- scientific article; zbMATH DE number 5944098 (Why is no real title available?)
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
- Volatility is (mostly) path-dependent
- scientific article; zbMATH DE number 5688778 (Why is no real title available?)
- Implied and realized volatility: empirical model selection
- Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
- On Estimation of Volatility Surface and Prediction of Future Spot Volatility
- Short Maturity Asian Options in Local Volatility Models
- scientific article; zbMATH DE number 2165826 (Why is no real title available?)
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
- Short maturity conditional Asian options in local volatility models
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Non-parametric volatility estimation in continuous time
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
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