Title :
Implied volatility functions: a reprise
Author :
Rosenberg, Joshua V.
Author_Institution :
Stern Sch. of Bus., New York Univ., NY, USA
Abstract :
This paper proposes and investigates a class of dynamic implied volatility function models (DIVF). This class of models separates the time-invariant implied volatility function from the stochastic state variables which drive changes in the individual implied volatilities. The dynamics of the state variables are modeled explicitly. This framework facilitates consistent pricing and hedging with time-variation in the IVF
Keywords :
financial data processing; stock markets; consistent pricing; dynamic implied volatility function models; hedging; stochastic state variables; time-invariant implied volatility function; Contracts; Finance; In vitro fertilization; Measurement standards; Pricing; Principal component analysis; Stability; Testing;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
Conference_Location :
New York, NY
Print_ISBN :
0-7803-6429-5
DOI :
10.1109/CIFER.2000.844587
