Robust Numerical Calibration for Implied Volatility Expansion Models

DOI10.1137/15M1035215MaRDI QIDQ2953945zbMATH OpenFDO

Authors Radu Baltean-Lugojan, Panos Parpas

Publication date 11 January 2017

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/15M1035215

zbMATH Keywords

implied volatility expansionsnonlinear least squaresnumerical calibrationparameter reductions

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Nonlinear programming (90C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Explicit implied volatilities for multifactor local-stochastic volatility models
• scientific article; zbMATH DE number 2133111 (Why is no real title available?)
• scientific article; zbMATH DE number 2107359 (Why is no real title available?)
• scientific article; zbMATH DE number 5223072 (Why is no real title available?)
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
• What good is a volatility model?

Cited in

(4)

• Monte Carlo calibration to implied volatility surface under volatility models
• Calibration of Stock Betas from Skews of Implied Volatilities
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
• Testing robustness in calibration of stochastic volatility models

Describes a project that uses

Uses Software

• TSA

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