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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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Neural Networks Based Dynamic Implied Volatility Surface
SSRN Electronic Journal, 2019A pricing model is tied to its ability of capturing the dynamics of the spot price process. Its misspecification will lead to pricing and hedging errors. Parametric pricing formula depends on the particular form of the dynamics of the underlying asset.
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Flexible Bayesian modelling of implied volatility surfaces
International Journal of Financial Engineering and Risk Management, 2014In their Bayesian approach to non–parametric bivariate regression, Smith and Kohn (1997) propose a regressor selection algorithm to fit a smooth surface to data. In this paper, we demonstrate how this methodology can be applied to estimate implied volatility surfaces and why it should be considered an alternative to classical estimators. In addition to
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Deep Learning from Implied Volatility Surfaces
SSRN Electronic Journal, 2023Bryan T. Kelly +3 more
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SSRN Electronic Journal, 2015
Since the market model based approach gained more popularity in implied volatility modeling literature, it is very important to understand the restriction on implied volatility surface imposed by no arbitrage conditions. There are many papers offering conclusions in different forms under kinds of assumptions.
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Since the market model based approach gained more popularity in implied volatility modeling literature, it is very important to understand the restriction on implied volatility surface imposed by no arbitrage conditions. There are many papers offering conclusions in different forms under kinds of assumptions.
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Chapter 30 - Implied Volatility Surface
2023Christian Hafner, Wolfgang Karl Härdle
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The Cost Model for Deriving Implied Volatility Surfaces
SSRN Electronic Journal, 2010In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks.
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Creating an Implied Volatility Surface with Rough Volatility Models
SSRN Electronic Journal, 2022openaire +1 more source
Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models
SSRN Electronic Journal, 2017Yacine Ait-Sahalia +2 more
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