Implied Volatility Surface Estimation via Quantile Regularization

DOI10.1007/978-3-030-48814-7_4zbMath1455.62204OpenAlexW3043454505MaRDI QIDQ5141229

Michal Pešta, Sebastiano Vitali, Matúš Maciak

Publication date: 18 December 2020

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-48814-7_4

zbMATH Keywords

optionsquantile regressionpanel dataLasso regularizationimplied volitility

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Causal inference from observational studies (62D20)

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Cites Work

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