Implied volatility surface estimation via quantile regularization

DOI10.1007/978-3-030-48814-7_4MaRDI QIDQ5141229zbMATH OpenOpenAlexFDO

Authors Matúš Maciak, Michal Pešta, Sebastiano Vitali

Publication date 18 December 2020

Published in Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-48814-7_4

zbMATH Keywords

panel dataquantile regressionoptionsLasso regularizationimplied volitility

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Causal inference from observational studies (62D20)

Recommendations

• Semiparametric modeling of implied volatility.
• Option-implied information: What's the vol surface got to do with it?
• Least Squares Kernel Smoothing of the Implied Volatility Smile
• Asymptotics of implied volatility to arbitrary order
• scientific article; zbMATH DE number 5524714

Cites work

• A group bridge approach for variable selection
• Change-point detection in a linear model by adaptive fused quantile method
• Changepoint detection by the quantile Lasso method
• Changepoint estimation for dependent and non-stationary panels.
• Changepoint in dependent and non-stationary panels
• Implied volatility and state price density estimation: arbitrage analysis
• Multiple Change-Point Estimation With a Total Variation Penalty
• On extracting information implied in options
• Regularization techniques in joinpoint regression
• Semiparametric modeling of implied volatility.
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Structural breaks in dependent, heteroscedastic, and extremal panel data.
• Structural change estimation in time series regressions with endogenous variables
• The pricing of options and corporate liabilities

Cited in

(5)

• Least Squares Kernel Smoothing of the Implied Volatility Smile
• Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
• Shape-preserving interpolation and smoothing for options market implied volatility
• Investment disputes and their explicit role in option market uncertainty and overall risk instability
• scientific article; zbMATH DE number 5524714 (Why is no real title available?)

This page was built for publication: Implied volatility surface estimation via quantile regularization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5141229)