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Calibrating volatility surfaces via relative-entropy minimization

Citations

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Cited by:

  1. Breuer, Thomas & Csiszár, Imre, 2013. "Systematic stress tests with entropic plausibility constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1552-1559.
  2. Ivan Guo & Gregoire Loeper, 2018. "Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives," Papers 1812.03526, arXiv.org, revised Sep 2020.
  3. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, University Library of Munich, Germany.
  4. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
  5. Cattiaux, Patrick & Gozlan, Nathael, 2007. "Deviations bounds and conditional principles for thin sets," Stochastic Processes and their Applications, Elsevier, vol. 117(2), pages 221-250, February.
  6. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
  7. 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.
  8. Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome, 2017. "No-arbitrage bounds for the forward smile given marginals," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1243-1256, August.
  9. Rama Cont & Andreea Minca, 2013. "Recovering portfolio default intensities implied by CDO quotes," Post-Print hal-00413730, HAL.
  10. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  11. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  12. Wei Chen, 2013. "G-consistent price system and bid-ask pricing for European contingent claims under Knightian uncertainty," Papers 1308.6256, arXiv.org, revised Sep 2013.
  13. Dai, Min & Tang, Ling & Yue, Xingye, 2016. "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 66-81.
  14. B. Düring & A. Jüngel & S. Volkwein, 2008. "Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing," Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 515-540, December.
  15. Ivan Guo & Gregoire Loeper & Jan Obloj & Shiyi Wang, 2021. "Optimal transport for model calibration," Papers 2107.01978, arXiv.org.
  16. Christopher Bose & Rua Murray, 2014. "Maximum Entropy Estimates for Risk-Neutral Probability Measures with Non-Strictly-Convex Data," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 285-307, April.
  17. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
  18. Sana Ben Hamida & Rama Cont, 2005. "Recovering Volatility from Option Prices by Evolutionary Optimization," Post-Print hal-02490586, HAL.
  19. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
  20. Ilia Bouchouev & Victor Isakov & Nicolas Valdivia, 2002. "Recovery of volatility coefficient by linearization," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 257-263.
  21. 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.
  22. Santanu Dey & Sandeep Juneja & Karthyek R. A. Murthy, 2014. "Incorporating Views on Marginal Distributions in the Calibration of Risk Models," Papers 1411.0570, arXiv.org.
  23. Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.
  24. Jiangze Du & Shaojie Lai & Kin Keung Lai & Shifei Zhou, 2021. "A novel term structure stochastic model with adaptive correlation for trend analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5485-5498, October.
  25. 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.
  26. Marco Avellaneda, 1998. "Minimum-Relative-Entropy Calibration of Asset-Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 447-472.
  27. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
  28. Lishang Jiang & Qihong Chen & Lijun Wang & Jin Zhang, 2003. "A new well-posed algorithm to recover implied local volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 451-457.
  29. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  30. Tapiero, Oren J., 2013. "A maximum (non-extensive) entropy approach to equity options bid–ask spread," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3051-3060.
  31. Cassio Neri & Lorenz Schneider, 2012. "Maximum entropy distributions inferred from option portfolios on an asset," Finance and Stochastics, Springer, vol. 16(2), pages 293-318, April.
  32. Lelièvre, Tony & Samaey, Giovanni & Zieliński, Przemysław, 2020. "Analysis of a micro–macro acceleration method with minimum relative entropy moment matching," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3753-3801.
  33. Thomas Breuer & Martin Summer, 2013. "Stress Test Robustness: Recent Advances and Open Problems," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 74-86.
  34. Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.
  35. A. Monteiro & R. Tütüncü & L. Vicente, 2011. "Estimation of risk-neutral density surfaces," Computational Management Science, Springer, vol. 8(4), pages 387-414, November.
  36. Gabriel TURINICI, 2008. "Local Volatility Calibration Using An Adjoint Proxy," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 2, pages 93-105, November.
  37. Nassim N. Taleb, 2014. "Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets," Papers 1405.2609, arXiv.org, revised Oct 2014.
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