On Estimation of Volatility Surface and Prediction of Future Spot Volatility

DOI10.1080/13504860600564661zbMATH Open1143.91337OpenAlexW2047512245WikidataQ57712782 ScholiaQ57712782MaRDI QIDQ3424327FDOQ3424327

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

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Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• Statistical inference for time-inhomogeneous volatility models.
• ARCH modeling in finance. A review of the theory and empirical evidence
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• Stock price distributions with stochastic volatility: an analytic approach
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• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix
• Option price when the stock is a semimartingale
• Title not available (Why is that?)

Cited In (1)

• Estimation and prediction of a non-constant volatility

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