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Deep Learning Based Dynamic Implied Volatility Surface
SSRN Electronic Journal, 2021We propose to model the dynamics of the entire implied volatility surface (IVS) multi-step ahead by letting the parameters of a stochastic volatility model with an explicit expression for the smile be dynamically evolved. We assume that these model parameters are stochastic processes driven by some explanatory variables and use deep learning to infer ...
Daniel Alexandre Bloch, Arthur Böök
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The Option-Implied Asset Volatility Surface
SSRN Electronic Journal, 2020This paper provides a simple way to obtain an option-implied asset volatility surface. The proposed estimation technique allows to estimate the unobservable asset volatility surface in the same fashion of what is done when equity volatility is extracted from options.
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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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