Tensoring Volatility Calibration
نویسندگان
چکیده
منابع مشابه
Calibration of the Volatility Surface
This thesis consists of two parts, one concerning implied volatility and one concerning local volatility. The SABR model and SVI model are investigated to model implied volatility. The performance of the two models were tested on the Eurcap market in March 2008. Two ways of extracting local volatility are reviewed by a test performed on data from European options based on the S&P 500 index. The...
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In this paper, we show the fragility of widely-used Stochastic Volatility Inspired (SVI) methodology. Especially, we highlight the sensitivity of SVI to the fitting penalty function. We compare different weight functions and propose to use a novel methodology, the implied vega weights. Moreover, we unveil the relationship between vega weights and the minimization task of observed and fitted pri...
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We document the calibration of the local volatility in a framework similar to Coleman, Li and Verma. The quality of a surface is assessed through a functional to be optimized; the specificity of the approach is to separate the optimization (performed with any suitable optimization algorithm) from the computation of the functional where we use an adjoint (as in L. Jiang et. al.) to obtain an app...
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We derive a direct link between local and implied volatilities in the form of a quasilinear degenerate parabolic partial differential equation. Using this equation we establish closed-form asymptotic formulae for the implied volatility near expiry as well as for deep inand out-of-the-money options. This in turn leads us to propose a new formulation near expiry of the calibration problem for the...
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We give an elementary proof of the associativity of the reduced tensor product that also works for primitive roots of At the same time we get a useful understanding of how representations fuse into each other
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3748323