Nonparametric spot volatility from options
From MaRDI portal
Publication:2299587
DOI10.1214/19-AAP1488zbMath1443.91301MaRDI QIDQ2299587
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1578366322
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Nonparametric jump variation measures from options ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Volatility of volatility and leverage effect from options ⋮ Can a Machine Correct Option Pricing Models? ⋮ Bias reduction in spot volatility estimation from options ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ Volatility analysis with realized GARCH-Itô models ⋮ SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
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