On Estimation of Volatility Surface and Prediction of Future Spot Volatility

DOI10.1080/13504860600564661MaRDI QIDQ3424327zbMATH OpenOpenAlexWikidataFDO

Authors Fima Klebaner, Truc Le, R. Liptser

Publication date 15 February 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600564661

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 2095958 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Option price when the stock is a semimartingale
• Statistical inference for time-inhomogeneous volatility models.
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

Cited in

(1)

• Estimation and prediction of a non-constant volatility

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