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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
International Journal of Theoretical and Applied Finance, 2011We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's expectation of future volatility.
M. FUKASAWA +5 more
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Closed-form implied volatility surfaces for stochastic volatility models with jumps
Journal of Econometrics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Aït-Sahalia, Yacine +2 more
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Quantitative Finance, 2019The prices of currency options expressed in terms of their implied volatilities and the implied correlations between foreign exchange rates at a given point in time depend on option delta and time to maturity. Implied volatilities and implied correlations likewise may thus be represented as a surface.
S. Beer, H. Fink
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From Implied to Local Volatility Surface
SSRN Electronic Journal, 2012We describe a single parametric model for the entire volatility surface with interpolation and extrapolation technique generating a smooth and robust implied volatility surface without arbitrage in space and time. It is used for marking option prices on indices and single stocks as well as for computing analytically a proper local volatility with ...
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Implied Volatility Surface: Calibrating the Models
2004Abstract The valuation of interest rate derivatives using an arbitrage-free interest rate model requires the inputs of the spot yield curve and the term structure of volatilities (or a volatility surface). We have discussed the importance of volatilities for option pricing.
Thomas S Y Ho, Sang Bin Lee
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The Dynamics of Implied Volatility Surfaces
2000This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move the implied volatility surface by applying Principal Components Analysis. Our methodology differs from the one followed by Skiadopoulos, Hodges and Clewlow (1998) who looked at ...
G. Skiadopoulos, S. Hodges, L. Clewlow
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Implied Volatility Surface Estimation via Quantile Regularization
2020The implied volatility function and the implied volatility surface are both key tools for analyzing financial and derivative markets and various approaches were proposed to estimate theses quantities. On the other hand, theoretical, practical, and also computational pitfalls occur in most of them.
Maciak, Matúš +2 more
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Predicting Future Implied Volatility Surface Using TDBP-Learning
SSRN Electronic Journal, 2020Parametric volatility models can be seen as the result of some form of dimensionality reduction obtained by projecting the volatility surface into a basis of risk factors. Examples include polynomial models and stochastic volatility models having an explicit expression for the smile, such as the SVI and the SABR model.
Daniel Alexandre Bloch, Arthur Böök
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Monte Carlo calibration to implied volatility surface under volatility models
Japan Journal of Industrial and Applied Mathematics, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Han, Chuan-Hsiang, Kuo, Chien-Liang
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Modeling the Dynamics of Implied Volatility Surfaces
SSRN Electronic Journal, 2009The objective of this study is to model implied volatility surfaces and identify risk factors that account for most of the randomness in the volatility surface. The approach is similar to the Dumas, Fleming and Whaley (DFW) (1998) study; we use moneyness (e.g., in forward price) and out-of-the-money (OTM) put-call options on FTSE100 index.
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