On Estimation of Volatility Surface and Prediction of Future Spot Volatility

DOI10.1080/13504860600564661zbMath1143.91337OpenAlexW2047512245WikidataQ57712782 ScholiaQ57712782MaRDI QIDQ3424327

Fima C. Klebaner, Truc Le, Robert Sh. 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

Related Items (1)

Estimation and prediction of a non-constant volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence
• Option price when the stock is a semimartingale
• Statistical inference for time-inhomogeneous volatility models.
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix

This page was built for publication: On Estimation of Volatility Surface and Prediction of Future Spot Volatility