Simulation of Arbitrage-Free Implied Volatility Surfaces

DOI10.1080/1350486X.2023.2277960MaRDI QIDQ6148557zbMATH OpenFDO

Authors Rama Cont

Publication date 11 January 2024

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/1350486X.2023.2277960

zbMATH Keywords

arbitrageimplied volatilityoptions marketssimulationvolatility index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
• Arbitrage-free smoothing of the implied volatility surface
• Arbitrage-free SVI volatility surfaces
• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
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Cites work

• A market model for stochastic implied volatility
• A two-step framework for arbitrage-free prediction of the implied volatility surface
• Arbitrage-free market models for option prices: the multi-strike case
• Arbitrage-Free Neural-SDE Market Models
• Arbitrage-free SVI volatility surfaces
• Can the implied volatility surface move by parallel shifts?
• Detecting and repairing arbitrage in traded option prices
• Dynamics of implied volatility surfaces
• No arbitrage SVI
• Simulation of implied volatility surfaces via tangent Lévy models
• THE RANGE OF TRADED OPTION PRICES
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS

Cited in

(5)

• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
• Implied value-at-risk and model-free simulation
• FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
• An algorithm for estimating implied volatility in equity-linked securities
• VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces

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