Implied volatility surface estimation via quantile regularization

DOI10.1007/978-3-030-48814-7_4zbMATH Open1455.62204OpenAlexW3043454505MaRDI QIDQ5141229FDOQ5141229

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Multiple Change-Point Estimation With a Total Variation Penalty
• A group bridge approach for variable selection
• 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
• Changepoint estimation for dependent and non-stationary panels.
• Structural change estimation in time series regressions with endogenous variables
• 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
• Change‐point detection in a linear model by adaptive fused quantile method

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
• Title not available (Why is that?)

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