Testing the local volatility assumption: a statistical approach
From MaRDI portal
Derivative securities (option pricing, hedging, etc.) (91G20) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70)
Recommendations
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Historical backtesting of local volatility model using aud/usd vanilla options
- Calibration of local volatility using the local and implied instantaneous variance
- Goodness-of-fit test for stochastic volatility models
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
Cites work
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A note on the central limit theorem for bipower variation of general functions
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Estimation of the Brownian dimension of a continuous Itô process
- Estimation of the instantaneous volatility
- Is Brownian motion necessary to model high-frequency data?
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Statistics and high-frequency data
- Testing for jumps in a discretely observed process
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- Testing the type of a semi-martingale: Itō against multifractal
- Testing whether jumps have finite or infinite activity
- The pricing of options on assets with stochastic volatilities
Cited in
(6)- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- Non-asymptotic statistical tests of the diffusion coefficient of stochastic differential equations
- Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
- Estimation of correlation for continuous semimartingales
- A test for the rank of the volatility process: the random perturbation approach
- Historical backtesting of local volatility model using aud/usd vanilla options
This page was built for publication: Testing the local volatility assumption: a statistical approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470421)
