Understanding the implied volatility surface for options on a diversified index

DOI10.1007/S10690-005-4249-4MaRDI QIDQ2575436zbMATH OpenOpenAlexFDO

Authors David Heath, Eckhard Platen

Publication date 9 December 2005

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-005-4249-4

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Pricing of index options under a minimal market model with log-normal scaling
• Stochastic implied volatility. A factor-based model.
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
• Pricing VIX options in a stochastic vol-of-vol model
• scientific article; zbMATH DE number 1867095

Cites work

• A jump-diffusion model for option pricing
• A market model for stochastic implied volatility
• Arbitrage in continuous complete markets
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• scientific article; zbMATH DE number 1642354 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Interest rate models -- theory and practice
• Intraday empirical analysis and modeling of diversified world stock indices
• Local volatility function models under a benchmark approach
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• Modelling the stochastic dynamics of volatility for equity indices
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• The dynamics of the S\&P 500 implied volatility surface

Cited in

(6)

• Optimal control for a linear quadratic problem with a stochastic time scale
• A two-factor model for low interest rate regimes
• Pricing of index options under a minimal market model with log-normal scaling
• What Drives Index Options Exposures?
• A BENCHMARK APPROACH TO FINANCE
• CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING

This page was built for publication: Understanding the implied volatility surface for options on a diversified index

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2575436)