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Arbitrage-Free Smoothing of the Implied Volatility Surface

Citations

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Cited by:

  1. Olena Burkovska & Maximilian Ga{ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth, 2016. "Calibration to American Options: Numerical Investigation of the de-Americanization," Papers 1611.06181, arXiv.org.
  2. Orcan Ogetbil & Bernhard Hientzsch, 2020. "Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility," Papers 2005.05530, arXiv.org, revised Feb 2023.
  3. Judith Glaser & Pascal Heider, 2012. "Arbitrage-free approximation of call price surfaces and input data risk," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 61-73, August.
  4. Martin Tegn'er & Stephen Roberts, 2019. "A Probabilistic Approach to Nonparametric Local Volatility," Papers 1901.06021, arXiv.org, revised Jan 2019.
  5. Kai Yin & Anirban Mondal, 2023. "Bayesian uncertainty quantification of local volatility model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 290-324, May.
  6. 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.
  7. Gianluca Cassese, 2019. "Nonparametric Estimates Of Option Prices And Related Quantities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-29, November.
  8. 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.
  9. Jim Gatheral & Antoine Jacquier, 2014. "Arbitrage-free SVI volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 59-71, January.
  10. 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.
  11. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
  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. Wolfgang Härdle & Zdenek Hlavka, 2005. "Dynamics of State Price Densities," SFB 649 Discussion Papers SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Yanlin Qu & Randall R. Rojas, 2017. "Closed-form Solutions of Relativistic Black-Scholes Equations," Papers 1711.04219, arXiv.org.
  15. Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011. "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 711-727.
  16. Carol Alexander & Johannes Rauch, 2014. "Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia," Papers 1404.1351, arXiv.org, revised Feb 2016.
  17. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  18. Salazar Celis, Oliver & Liang, Lingzhi & Lemmens, Damiaan & Tempère, Jacques & Cuyt, Annie, 2015. "Determining and benchmarking risk neutral distributions implied from option prices," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 372-387.
  19. Frédéric Vrins & Linqi Wang, 2023. "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
  20. Pascal Albert & Michael Herold & Matthias Muck, 2023. "Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1807-1835, December.
  21. Gabriel Drimus & Walter Farkas, 2013. "Local volatility of volatility for the VIX market," Review of Derivatives Research, Springer, vol. 16(3), pages 267-293, October.
  22. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  23. Maxim Ulrich & Simon Walther, 2020. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 23(3), pages 323-355, October.
  24. Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar, 2019. "Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 705-728, August.
  25. 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.
  26. Курочкин С.В., 2016. "Выпуклость Множества Цен Опционов Как Необходимое И Достаточное Условие Отсутствия Арбитража," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(2), pages 103-111, апрель.
  27. Michal Benko & Wolfgang Härdle & Alois Kneip, 2006. "Common Functional Principal Components," SFB 649 Discussion Papers SFB649DP2006-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  28. 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.
  29. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  30. Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
  31. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
  32. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
  33. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
  34. Alan L. Lewis, 2019. "Option-based Equity Risk Premiums," Papers 1910.14522, arXiv.org, revised Apr 2020.
  35. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
  36. Seung Hwan Lee, 2014. "Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1857-1879, October.
  37. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012. "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 203-229, March.
  38. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
  39. 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.
  40. Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
  41. Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur, 2018. "Modeling and implementation of local volatility surfaces in Bayesian framework," Computational Management Science, Springer, vol. 15(2), pages 239-258, June.
  42. Miloš Kopa & Sebastiano Vitali & Tomáš Tichý & Radek Hendrych, 2017. "Implied volatility and state price density estimation: arbitrage analysis," Computational Management Science, Springer, vol. 14(4), pages 559-583, October.
  43. Sigurd Emil Rømer & Rolf Poulsen, 2020. "How Does the Volatility of Volatility Depend on Volatility?," Risks, MDPI, vol. 8(2), pages 1-18, June.
  44. Tahar Ferhati, 2020. "Robust Calibration For SVI Model Arbitrage Free," Working Papers hal-02490029, HAL.
  45. Tahar Ferhati, 2020. "SVI Model Free Wings," Working Papers hal-02517572, HAL.
  46. Sylvain Corlay, 2013. "B-spline techniques for volatility modeling," Papers 1306.0995, arXiv.org, revised Jun 2015.
  47. 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.
  48. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
  49. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
  50. Kim, Namhyoung & Lee, Jaewook, 2013. "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 36-53.
  51. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
  52. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
  53. 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.
  54. Areski Cousin & Djibril Gueye, 2021. "Kriging For Implied Volatility Surface," Working Papers hal-03274026, HAL.
  55. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
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