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Arbitrage-free smoothing of the implied volatility surface

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Anindya Goswami & Nimit Rana, 2024. "A market resilient data-driven approach to option pricing," Papers 2409.08205, arXiv.org.
  4. 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.
  5. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  6. repec:hum:wpaper:sfb649dp2006-010 is not listed on IDEAS
  7. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
  8. Sigurd Emil Rømer & Rolf Poulsen, 2020. "How Does the Volatility of Volatility Depend on Volatility?," Risks, MDPI, vol. 8(2), pages 1-18, June.
  9. 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.
  10. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
  11. 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.
  12. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Tahar Ferhati, 2020. "SVI Model Free Wings," Working Papers hal-02517572, HAL.
  21. 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.
  22. Sylvain Corlay, 2013. "B-spline techniques for volatility modeling," Papers 1306.0995, arXiv.org, revised Jun 2015.
  23. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
  24. Areski Cousin & Djibril Gueye, 2021. "Kriging For Implied Volatility Surface," Working Papers hal-03274026, HAL.
  25. 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.
  26. Orcan Ogetbil & Bernhard Hientzsch, 2020. "Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility," Papers 2005.05530, arXiv.org, revised Feb 2023.
  27. Martin Tegn'er & Stephen Roberts, 2019. "A Probabilistic Approach to Nonparametric Local Volatility," Papers 1901.06021, arXiv.org, revised Jan 2019.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. Frédéric Vrins & Linqi Wang, 2023. "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
  33. 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.
  34. 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.
  35. 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.
  36. Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar, 2024. "A Semi-Closed Form Approximation of Arbitrage-Free Call Option Price Surface," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1431-1457, April.
  37. 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.
  38. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. 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.
  45. repec:hal:wpaper:hal-03715921 is not listed on IDEAS
  46. Zhonghao Xian & Xing Yan & Cheuk Hang Leung & Qi Wu, 2024. "Risk-Neutral Generative Networks," Papers 2405.17770, arXiv.org.
  47. Jim Gatheral & Antoine Jacquier, 2014. "Arbitrage-free SVI volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 59-71, January.
  48. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
  49. repec:hum:wpaper:sfb649dp2005-021 is not listed on IDEAS
  50. Yanlin Qu & Randall R. Rojas, 2017. "Closed-form Solutions of Relativistic Black-Scholes Equations," Papers 1711.04219, arXiv.org.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
  56. Alan L. Lewis, 2019. "Option-based Equity Risk Premiums," Papers 1910.14522, arXiv.org, revised Apr 2020.
  57. 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.
  58. Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
  59. Tahar Ferhati, 2020. "Robust Calibration For SVI Model Arbitrage Free," Working Papers hal-02490029, HAL.
  60. Härdle, Wolfgang Karl & Hlávka, Zdeněk, 2005. "Dynamics of state price densities," SFB 649 Discussion Papers 2005-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  61. Benko, Michal & Härdle, Wolfgang Karl & Kneip, Alois, 2006. "Common functional principal components," SFB 649 Discussion Papers 2006-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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