Nonparametric spot volatility from options
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Publication:2299587
DOI10.1214/19-AAP1488zbMATH Open1443.91301MaRDI QIDQ2299587FDOQ2299587
Authors: Viktor Todorov 
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
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Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
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Cited In (16)
- Bias reduction in spot volatility estimation from options
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Volatility analysis with realized GARCH-Itô models
- Title not available (Why is that?)
- Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models
- Volatility measurement with pockets of extreme return persistence
- Nonparametric prediction for the time-dependent volatility of the security price
- Can a Machine Correct Option Pricing Models?
- SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
- Nonparametric jump variation measures from options
- Volatility analysis for the GARCH-Itô model with option data
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Estimating option pricing models using a characteristic function-based linear state space representation
- Volatility of volatility and leverage effect from options
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
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