Implied Volatility Surface Estimation via Quantile Regularization
DOI10.1007/978-3-030-48814-7_4zbMATH Open1455.62204OpenAlexW3043454505MaRDI QIDQ5141229FDOQ5141229
Michal Pešta, Sebastiano Vitali, Matúš Maciak
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
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)
Cites Work
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- On extracting information implied in options
- Implied volatility and state price density estimation: arbitrage analysis
- Changepoint in dependent and non-stationary panels
- Changepoint detection by the quantile Lasso method
- Regularization techniques in joinpoint regression
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Cited In (4)
- 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
- Title not available (Why is that?)
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