Semiparametric modeling of implied volatility.
From MaRDI portal
semiparametric estimationBlack-Scholes modelimplied volatilityfinancial derivativessemi-consisting pricing approaches
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Recommendations
Cited in
(30)- On volatility smile and an investment strategy with out-of-the-money calls
- Time Dependent Relative Risk Aversion
- Implied volatility smoothing at COVID-19 times
- A Gaussian semi-parametric implied volatility model
- On extracting information implied in options
- Reduced-order models for the implied variance under local volatility
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- The dynamics of implied volatilities: a common principal components approach
- Least Squares Kernel Smoothing of the Implied Volatility Smile
- Variance swap dynamics
- The waterline tree for separable local-volatility models
- Historical backtesting of local volatility model using aud/usd vanilla options
- Common functional principal components
- Dynamics of state price densities
- Implied volatility functions in arbitrage-free term structure models.
- Dynamic semiparametric factor models in risk neutral density estimation
- Implied volatility and state price density estimation: arbitrage analysis
- A semiparametric stochastic volatility model
- Investment disputes and their explicit role in option market uncertainty and overall risk instability
- Parametric estimation of risk neutral density functions
- Parametric modeling of implied smile functions: a generalized SVI model
- Spectral calibration of exponential Lévy models
- Stochastic implied volatility. A factor-based model.
- Local volatility dynamic models
- scientific article; zbMATH DE number 1538078 (Why is no real title available?)
- Implied volatility surface estimation via quantile regularization
- Note on multidimensional Breeden-Litzenberger representation for state price densities
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Using interpolated implied volatility for analysing exogenous market changes
This page was built for publication: Semiparametric modeling of implied volatility.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2571098)