Simulation of Implied Volatility Surfaces via Tangent Lévy Models

DOI10.1137/15M1015510zbMath1410.91478arXiv1504.00334OpenAlexW1670043891MaRDI QIDQ5266358

Sergey Nadtochiy, Yi Ma, René A. Carmona

Publication date: 2 June 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.00334

zbMATH Keywords

Monte Carlo simulationportfolio optimizationimplied volatilitytangent Lévy modelsmarket-based models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Simulation of Arbitrage-Free Implied Volatility Surfaces ⋮ ROBUST TRADING OF IMPLIED SKEW

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