Dynamics of implied volatility surfaces
From MaRDI portal
Publication:4646769
DOI10.1088/1469-7688/2/1/304zbMath1405.91603OpenAlexW2103975365MaRDI QIDQ4646769
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/1/304
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Nonparametric state price density estimation using constrained least squares and the bootstrap, Implied basket correlation dynamics, Inference and Computation for Sparsely Sampled Random Surfaces, A new class of multidimensional Wishart-based hybrid models, HARA utility maximization in a Markov-switching bond–stock market, Structural Clustering of Volatility Regimes for Dynamic Trading Strategies, Closed-form implied volatility surfaces for stochastic volatility models with jumps, State price density estimation with an application to the recovery theorem, A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model, Arbitrage-Free Neural-SDE Market Models, Implied volatility smoothing at COVID-19 times, Simulation of Arbitrage-Free Implied Volatility Surfaces, A two-step framework for arbitrage-free prediction of the implied volatility surface, Optimal investment in multidimensional Markov-modulated affine models, Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms, On the modelling of nested risk-neutral stochastic processes with applications in insurance, Neutral and indifference pricing with stochastic correlation and volatility, A neural network approach to understanding implied volatility movements, It only takes a few moments to hedge options, Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters, Some recent developments in stochastic volatility modelling, Deterministic implied volatility models, Dynamics of implied volatility surfaces, Alternative asset-price dynamics and volatility smile, Pricing of index options under a minimal market model with log-normal scaling, Implied volatility in oil markets, Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications, A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting, Implied volatility and state price density estimation: arbitrage analysis, Option pricing in regime-switching frameworks with the extended Girsanov principle, Delta-hedging vega risk?, Model-driven statistical arbitrage on LETF option markets, Calibration and advanced simulation schemes for the Wishart stochastic volatility model, Dynamics of foreign exchange implied volatility and implied correlation surfaces, Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility, Scenario analysis for derivative portfolios via dynamic factor models, Static replication of barrier-type options via integral equations, Modeling and evaluation of the option book hedging problem using stochastic programming, Application of power series approximation techniques to valuation of European style options, Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints, A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface, Simulation of Implied Volatility Surfaces via Tangent Lévy Models, A closed-form solution for outperformance options with stochastic correlation and stochastic volatility, A deposit insurance pricing with a multi-state regime-switching volatility
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- The dynamics of the S\&P 500 implied volatility surface
- The dynamics of implied volatilities: a common principal components approach
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- A Flexible and Fast Method for Automatic Smoothing
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Locally Adaptive Bandwidth Choice for Kernel Regression Estimators
- Deterministic implied volatility models
- Dynamics of implied volatility surfaces
- A market model for stochastic implied volatility
- An inverse parabolic problem arising in finance
- An E-ARCH model for the term structure of implied volatility of FX options
