Semiparametric modeling of implied volatility.

zbMath1084.62109MaRDI QIDQ2571098

Matthias R. Fengler

Publication date: 3 November 2005

Published in: Springer Finance (Search for Journal in Brave)

zbMATH Keywords

semiparametric estimationBlack-Scholes modelimplied volatilityfinancial derivativessemi-consisting pricing approaches

Mathematics Subject Classification ID

Related Items (22)

ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ Dynamics of state price densities ⋮ Parametric modeling of implied smile functions: a generalized SVI model ⋮ REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Spectral calibration of exponential Lévy models ⋮ Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Implied volatility smoothing at COVID-19 times ⋮ HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS ⋮ Note on multidimensional Breeden-Litzenberger representation for state price densities ⋮ Implied Volatility Surface Estimation via Quantile Regularization ⋮ Variance swap dynamics ⋮ On extracting information implied in options ⋮ The waterline tree for separable local-volatility models ⋮ Local volatility dynamic models ⋮ Time Dependent Relative Risk Aversion ⋮ Implied volatility and state price density estimation: arbitrage analysis ⋮ Dynamic semiparametric factor models in risk neutral density estimation ⋮ Common functional principal components ⋮ Generative Bayesian neural network model for risk-neutral pricing of American index options ⋮ Parametric Estimation of Risk Neutral Density Functions ⋮ Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines ⋮ On volatility smile and an investment strategy with out-of-the-money calls

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