Nonparametric estimation for stochastic volatility models

DOI10.1007/s00780-009-0112-1zbMath1224.91192OpenAlexW3123036048MaRDI QIDQ5971188

Valdo Durrleman

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0112-1

zbMATH Keywords

asymptotic analysisoption priceimplied volatilitymartingale representationItô-Wentzell formulaspot volatility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

On the Curvature of the Smile in Stochastic Volatility Models ⋮ Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Short maturity conditional Asian options in local volatility models ⋮ Option pricing in the moderate deviations regime ⋮ Forward Variance Dynamics: Bergomi’s Model Revisited ⋮ Volatility is (mostly) path-dependent ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ Analytical approximation of the transition density in a local volatility model ⋮ SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ Small-Time Asymptotics of Option Prices and First Absolute Moments

Cites Work

• Unnamed Item
• Unnamed Item
• A general version of the fundamental theorem of asset pricing
• Arbitrage-free market models for option prices: the multi-strike case
• Local volatility dynamic models
• Risk-neutral compatibility with option prices
• Computing the implied volatility in stochastic volatility models
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• Coupling smiles
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A market model for stochastic implied volatility

This page was built for publication: Nonparametric estimation for stochastic volatility models