Calibration of Stock Betas from Skews of Implied Volatilities

DOI10.1080/1350486X.2010.481175zbMath1213.91150MaRDI QIDQ3004479

Eli Kollman, Jean-Pierre Fouque

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityimplied volatilityCAPMstock betas

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)

Related Items

Option pricing under a stressed-beta model, Implied Volatility of Leveraged ETF Options

Cites Work

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• Singular Perturbations in Option Pricing
• Multiscale Stochastic Volatility Asymptotics
• Measuring Systematic Risk Using Implicit Beta
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options