Testing the local volatility assumption: a statistical approach

DOI10.1007/S10436-011-0180-ZzbMATH Open1298.62181OpenAlexW1966453996MaRDI QIDQ470421FDOQ470421

Authors: Mathieu Rosenbaum, Mark Podolskij 

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-011-0180-z

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zbMATH Keywords

limit theoremsstochastic volatility modelssemi-martingalestest statisticslocal volatility models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70)

Cites Work

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• Is Brownian motion necessary to model high-frequency data?
• Estimation of the instantaneous volatility
• Testing whether jumps have finite or infinite activity
• Estimation of the Brownian dimension of a continuous Itô process
• Testing the type of a semi-martingale: Itō against multifractal
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• A note on the central limit theorem for bipower variation of general functions

Cited In (6)

• Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations
• Historical backtesting of local volatility model using aud/usd vanilla options
• A test for the rank of the volatility process: the random perturbation approach
• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
• Estimation of correlation for continuous semimartingales
• A Local Linear Least-Absolute-Deviations Estimator of Volatility

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