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Arbitrage-free SVI volatility surfaces

Citations

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Cited by:

  1. Andrew Papanicolaou, 2021. "Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options," Papers 2101.00299, arXiv.org, revised Mar 2021.
  2. Niu, Jing & Ma, Chao & Wang, Yunpeng & Chang, Chun-Ping & Wang, Haijie, 2022. "The pricing of China stock index options based on monetary policy uncertainty," Journal of Asian Economics, Elsevier, vol. 81(C).
  3. Orcan Ogetbil & Bernhard Hientzsch, 2020. "Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility," Papers 2005.05530, arXiv.org, revised Feb 2023.
  4. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  5. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
  6. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
  7. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
  8. Claude Martini & Arianna Mingone, 2021. "Explicit no arbitrage domain for sub-SVIs via reparametrization," Papers 2106.02418, arXiv.org.
  9. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Papers 2207.02989, arXiv.org.
  10. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
  11. Gaetano La Bua & Daniele Marazzina, 2022. "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 209-239, June.
  12. Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron, 2023. "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs," Papers 2303.00859, arXiv.org, revised Dec 2023.
  13. Chun Yat Yeung & Ali Hirsa, 2022. "Saddle-Point Approach to Large-Time Volatility Smile," Papers 2212.05671, arXiv.org.
  14. Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019. "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 819-834.
  15. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
  16. Andrew Na & Meixin Zhang & Justin Wan, 2023. "Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations," Papers 2304.13128, arXiv.org, revised Dec 2023.
  17. Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110985, University Library of Munich, Germany.
  18. Benjamin Virrion, 2020. "Deep Importance Sampling," Working Papers hal-02887331, HAL.
  19. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
  20. Vinicius Albani & Uri M. Ascher & Jorge P. Zubelli, 2016. "Local Volatility Models in Commodity Markets and Online Calibration," Papers 1602.04372, arXiv.org.
  21. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
  22. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
  23. Maarten Wyns & Jacques Du Toit, 2016. "A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models," Papers 1611.02961, arXiv.org.
  24. U Hou Lok & Yuh‐Dauh Lyuu, 2020. "Efficient trinomial trees for local‐volatility models in pricing double‐barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 556-574, April.
  25. Amine Assouel & Antoine Jacquier & Alexei Kondratyev, 2021. "A Quantum Generative Adversarial Network for distributions," Papers 2110.02742, arXiv.org.
  26. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
  27. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
  28. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2017. "On VIX Futures in the rough Bergomi model," Papers 1701.04260, arXiv.org.
  29. Benjamin Virrion, 2020. "Deep Importance Sampling," Papers 2007.02692, arXiv.org, revised Jul 2020.
  30. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2019. "Extreme-strike asymptotics for general Gaussian stochastic volatility models," Annals of Finance, Springer, vol. 15(1), pages 59-101, March.
  31. Michael R. Tehranchi, 2020. "A Black–Scholes inequality: applications and generalisations," Finance and Stochastics, Springer, vol. 24(1), pages 1-38, January.
  32. Arianna Mingone, 2022. "No arbitrage global parametrization for the eSSVI volatility surface," Papers 2204.00312, arXiv.org.
  33. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
  34. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
  35. Wenyong Zhang & Lingfei Li & Gongqiu Zhang, 2021. "A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface," Papers 2106.07177, arXiv.org, revised Jan 2022.
  36. Claude Martini & Iacopo Raffaelli, 2021. "Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales," Papers 2105.06390, arXiv.org.
  37. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
  38. Arianna Mingone, 2022. "Smiles in delta," Papers 2209.00406, arXiv.org.
  39. Samuel E. Vazquez, 2014. "Option Pricing, Historical Volatility and Tail Risks," Papers 1402.1255, arXiv.org.
  40. Babak Mahdavi-Damghani & Konul Mustafayeva & Stephen Roberts & Cristin Buescu, 2018. "Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning," Papers 1812.10183, arXiv.org, revised Oct 2019.
  41. Hirbod Assa & Mostafa Pouralizadeh & Abdolrahim Badamchizadeh, 2019. "Sound Deposit Insurance Pricing Using a Machine Learning Approach," Risks, MDPI, vol. 7(2), pages 1-18, April.
  42. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Post-Print hal-03715921, HAL.
  43. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
  44. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
  45. Marc Chataigner & Areski Cousin & St'ephane Cr'epey & Matthew Dixon & Djibril Gueye, 2022. "Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints," Papers 2212.09957, arXiv.org.
  46. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.
  47. Pierre Cohort & Jacopo Corbetta & Claude Martini & Ismail Laachir, 2018. "Robust calibration and arbitrage-free interpolation of SSVI slices," Papers 1804.04924, arXiv.org, revised Mar 2019.
  48. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Working Papers hal-03715921, HAL.
  49. Magnus Wiese & Phillip Murray, 2022. "Risk-Neutral Market Simulation," Papers 2202.13996, arXiv.org.
  50. Blanka Horvath & Aitor Muguruza & Mehdi Tomas, 2019. "Deep Learning Volatility," Papers 1901.09647, arXiv.org, revised Aug 2019.
  51. Antoine Jacquier & Claude Martini & Aitor Muguruza, 2018. "On VIX futures in the rough Bergomi model," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 45-61, January.
  52. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
  53. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
  54. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
  55. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
  56. Michael R. Tehranchi, 2017. "A Black--Scholes inequality: applications and generalisation," Papers 1701.03897, arXiv.org, revised Aug 2019.
  57. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.
  58. Pierre M. Blacque-Florentin & Badr Missaoui, 2015. "Nonparametric and arbitrage-free construction of call surfaces using l1-recovery," Papers 1506.06997, arXiv.org, revised Aug 2016.
  59. Claude Martini & Arianna Mingone, 2020. "No arbitrage SVI," Papers 2005.03340, arXiv.org, revised May 2021.
  60. Itkin, Andrey, 2015. "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 264-291.
  61. Thaddeus Neururer & George Papadakis & Edward J. Riedl, 2016. "Tests of investor learning models using earnings innovations and implied volatilities," Review of Accounting Studies, Springer, vol. 21(2), pages 400-437, June.
  62. Baule, Rainer & Shkel, David, 2021. "Model risk and model choice in the case of barrier options and bonus certificates," Journal of Banking & Finance, Elsevier, vol. 133(C).
  63. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
  64. Stefano De Marco & Claude Martini, 2017. "Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula," Papers 1703.00957, arXiv.org, revised May 2017.
  65. Hadrien de March & Pierre Henry-Labordere, 2019. "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers hal-02011533, HAL.
  66. José L. Vilar-Zanón & Olivia Peraita-Ezcurra, 2019. "A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 259-276, June.
  67. Anastasis Kratsios & Cody B. Hyndman, 2017. "Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization," Papers 1710.05114, arXiv.org, revised Dec 2019.
  68. Navratil, Robert & Taylor, Stephen & Vecer, Jan, 2022. "On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1215-1229.
  69. Bender Christian & Thiel Matthias, 2020. "Arbitrage-free interpolation of call option prices," Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 55-78, January.
  70. Vinicius Albani & Adriano De Cezaro & Jorge P. Zubelli, 2017. "Convex Regularization Of Local Volatility Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-37, February.
  71. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models," Papers 1502.05442, arXiv.org, revised Feb 2017.
  72. Ping Wu & Robert J. Elliott, 2017. "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, vol. 13(1), pages 1-29, February.
  73. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
  74. Jacopo Corbetta & Pierre Cohort & Ismail Laachir & Claude Martini, 2019. "Robust calibration and arbitrage-free interpolation of SSVI slices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 665-677, December.
  75. Areski Cousin & Djibril Gueye, 2021. "Kriging For Implied Volatility Surface," Working Papers hal-03274026, HAL.
  76. Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
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