Stochastic volatility models: faking a smile

DOI10.1142/9789811202391_0033MaRDI QIDQ5139439zbMATH OpenOpenAlexFDO

Authors Dean Diavatopoulos, Oleg Sokolinskiy

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0033

zbMATH Keywords

calibrationimplied volatility smile/skew/surfaceoption pricingrealized variationstochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(5)

• The smirk in the S\&P500 futures options prices: a linearized factor analysis
• Volatility smile as relativistic effect
• A volatility smile-based uncertainty index
• scientific article; zbMATH DE number 1836454 (Why is no real title available?)
• Stochastic local volatility models and the Wei-Norman factorization method

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