Simulation of Arbitrage-Free Implied Volatility Surfaces

DOI10.1080/1350486x.2023.2277960zbMath1530.91611MaRDI QIDQ6148557

Unnamed Author, Rama Cont

Publication date: 11 January 2024

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

zbMATH Keywords

simulationarbitrageimplied volatilityvolatility indexoptions markets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Arbitrage-free market models for option prices: the multi-strike case
• Can the implied volatility surface move by parallel shifts?
• Arbitrage-free SVI volatility surfaces
• THE RANGE OF TRADED OPTION PRICES
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Dynamics of implied volatility surfaces
• A market model for stochastic implied volatility
• Detecting and Repairing Arbitrage in Traded Option Prices
• No Arbitrage SVI
• Simulation of Implied Volatility Surfaces via Tangent Lévy Models
• Arbitrage-Free Neural-SDE Market Models
• A two-step framework for arbitrage-free prediction of the implied volatility surface

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