Robust Numerical Calibration for Implied Volatility Expansion Models
نویسندگان
چکیده
منابع مشابه
Robust Numerical Calibration for Implied Volatility Expansion Models
Implied volatility expansions allow calibration of sophisticated volatility models. They provide an accurate fit and parametrization of implied volatility surfaces that is consistent with empirical observations. Fine-grained higher order expansions offer a better fit but pose the challenge of finding a robust, stable and computationally tractable calibration procedure due to a large number of m...
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Abstract In this paper, we characterize two deterministic implied volatility models, defined by assuming that either the per-delta or the per-strike implied volatility surface has a deterministic evolution. Practitioners have recently proposed these two models to describe two regimes of implied volatility (see Derman (1999 Risk 4 55–9)). In an arbitrage-free sticky-delta model, we show that the...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2016
ISSN: 1945-497X
DOI: 10.1137/15m1035215