Stochastic implied volatility. A factor-based model.

zbMath1059.91040MaRDI QIDQ1880674

Reinhold Hafner

Publication date: 1 October 2004

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

volatility smilevolatility surfaceDAX implied volatilityDAX optionsfactor model for DAX implied volatilitiesvolatility term structurevolatility trading

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (7)

Implied basket correlation dynamics ⋮ Consistent variance curve models ⋮ Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach ⋮ A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE ⋮ Dynamic semiparametric factor models in risk neutral density estimation ⋮ Common functional principal components ⋮ Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Uses Software

• itsmr

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