Nonparametric spot volatility from options
From MaRDI portal
Publication:2299587
DOI10.1214/19-AAP1488zbMath1443.91301MaRDI QIDQ2299587
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1578366322
options; jumps; stochastic volatility; stable convergence; nonparametric inference; Itô semimartingale
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
Related Items
SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models, Volatility analysis with realized GARCH-Itô models, Nonparametric jump variation measures from options, Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options, Closed-form implied volatility surfaces for stochastic volatility models with jumps, Bias reduction in spot volatility estimation from options
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