Name
Abstract | ||
|---|---|---|
The skew efiect in market implied volatility can be reproduced by option pricing theorybasedonstochasticvolatilitymodelsforthepriceoftheunderlyingasset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility describedin(7). Thetime-variationoftheflttedskew-slopeparametershowsaperiodic behaviour that depends on the option maturity dates in the future, which are known inadvance. Byextendingthemathematicalanalysistoincorporatemodelparameters whicharetime-varying,weshowthisbehaviourcanbeexplainedinamannerconsistent withalargemodelclassfortheunderlyingpricedynamicswithtime-periodicvolatility coe-cients. |
Year | DOI | Venue |
|---|---|---|
2004 | 10.1007/s00780-004-0126-7 | Finance and Stochastics |
Keywords | Field | DocType |
implied volatilities,maturity cycles,fast mean-reverting stochastic volatility,asymptotic expansions | Implied volatility,Stochastic volatility,Economics,Financial economics,Volatility swap,Heston model,Volatility smile,Forward volatility,Volatility (finance),Volatility risk premium | Journal |
Volume | Issue | ISSN |
8 | 4 | 0949-2984 |
Citations | PageRank | References |
7 | 2.09 | 5 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jean-pierre Fouque | 1 | 124 | 40.64 |
| George Papanicolaou | 2 | 199 | 50.21 |
| Ronnie Sircar | 3 | 117 | 40.94 |
| Knut Sølna | 4 | 142 | 46.02 |