Arbitrage-free smoothing of the implied volatility surface
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Publication:3404099
DOI10.1080/14697680802595585zbMATH Open1182.91172OpenAlexW2119074269MaRDI QIDQ3404099FDOQ3404099
Authors: Matthias R. Fengler 
Publication date: 5 February 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22137
Recommendations
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Arbitrage-free SVI volatility surfaces
- Smooth and bid-offer compliant volatility surfaces under general dividend streams
- Asymptotics of implied volatility to arbitrary order
- Generalized arbitrage-free SVI volatility surfaces
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
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- Title not available (Why is that?)
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- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- On extracting information implied in options
- Pricing American options fitting the smile.
Cited In (46)
- On extracting information implied in options
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Arbitrage-Free Neural-SDE Market Models
- Arbitrage-free call option surface construction using regression splines
- Modeling and implementation of local volatility surfaces in Bayesian framework
- Calibration to American options: numerical investigation of the de-americanization method
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Foreign exchange rate volatility smiles and smirks
- Delta hedging bitcoin options with a smile
- Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
- MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
- Option-implied information: What's the vol surface got to do with it?
- Detecting and repairing arbitrage in traded option prices
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
- \(\ell_1\)-constrained implied transition densities
- Determining and benchmarking risk neutral distributions implied from option prices
- Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
- Arbitrage-free interpolation of call option prices
- Adiabaticity conditions for volatility smile in Black-Scholes pricing model
- Implied volatility functions in arbitrage-free term structure models.
- A two-step framework for arbitrage-free prediction of the implied volatility surface
- Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
- CONIC CVA AND DVA FOR OPTION PORTFOLIOS
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Arbitrage-free SVI volatility surfaces
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- Semiparametric modeling of implied volatility.
- Generalized arbitrage-free SVI volatility surfaces
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- Implied volatility and state price density estimation: arbitrage analysis
- Shape-preserving interpolation and smoothing for options market implied volatility
- Parametric modeling of implied smile functions: a generalized SVI model
- Moving least squares for arbitrage-free price and volatility surfaces
- FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Pricing autocallables under local-stochastic volatility
- Bayesian uncertainty quantification of local volatility model
- Inference and Computation for Sparsely Sampled Random Surfaces
- No arbitrage SVI
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Arbitrage-free approximation of call price surfaces and input data risk
- Asymmetric short-rate model without lower bound
- Local volatility of volatility for the VIX market
- Smooth and bid-offer compliant volatility surfaces under general dividend streams
- Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
- Nonparametric estimates of option prices and related quantities
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