Nonparametric spot volatility from options
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Publication:2299587
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Cited in
(22)- Bias reduction in spot volatility estimation from options
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- Risk neutral jump arrival rates implied in option prices and their models
- Nonparametric prediction for the time-dependent volatility of the security price
- Inference for volatility-type objects and implications for hedging
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Volatility analysis with realized GARCH-Itô models
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Volatility coupling
- Volatility analysis for the GARCH-Itô model with option data
- Spatial dependence in option observation errors
- Volatility measurement with pockets of extreme return persistence
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- An application of nonparametric volatility estimators to option pricing
- Nonparametric jump variation measures from options
- Spot volatility estimation using delta sequences
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Volatility activity: specification and estimation
- Volatility of volatility and leverage effect from options
- Estimating option pricing models using a characteristic function-based linear state space representation
- Can a Machine Correct Option Pricing Models?
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