Improved differential approach to computing implied volatility - Implied volatility surface model

被引：0
|
作者：
Zhang, Ai-Ling [1 ]
Wu, Chong-Feng [1 ]
机构：
[1] Antai College of Economics and Management, Shanghai Jiaotong Univ., Shanghai 200052, China
来源：
Shanghai Jiaotong Daxue Xuebao/Journal of Shanghai Jiaotong University | 2007年 / 41卷 / 12期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
下载
收藏
页码：1985 / 1989
相关论文
共 50 条
  • [21] Factors explaining movements in the implied volatility surface
    Mixon, S
    JOURNAL OF FUTURES MARKETS, 2002, 22 (10) : 915 - 937
  • [22] Intraday volatility forecasting from implied volatility
    Byun, Suk Joon
    Rhee, Dong Woo
    Kim, Sol
    INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2011, 7 (01) : 83 - +
  • [23] MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
    Fukasawa, M.
    Ishida, I.
    Maghrebi, N.
    Oya, K.
    Ubukata, M.
    Yamazaki, K.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2011, 14 (04) : 433 - 463
  • [24] Monte Carlo calibration to implied volatility surface under volatility models
    Han, Chuan-Hsiang
    Kuo, Chien-Liang
    JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS, 2017, 34 (03) : 763 - 778
  • [25] Monte Carlo calibration to implied volatility surface under volatility models
    Chuan-Hsiang Han
    Chien-Liang Kuo
    Japan Journal of Industrial and Applied Mathematics, 2017, 34 : 763 - 778
  • [26] ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
    Gatheral, Jim
    Hsu, Elton P.
    Laurence, Peter
    Ouyang, Cheng
    Wang, Tai-Ho
    MATHEMATICAL FINANCE, 2012, 22 (04) : 591 - 620
  • [27] Volatility linkages of the equity, bond and money markets: an implied volatility approach
    Wang, Kent
    ACCOUNTING AND FINANCE, 2009, 49 (01): : 207 - 219
  • [28] Implied and realized volatility: empirical model selection
    Zhang, Lan
    ANNALS OF FINANCE, 2012, 8 (2-3) : 259 - 275
  • [29] Implied and realized volatility: empirical model selection
    Lan Zhang
    Annals of Finance, 2012, 8 (2-3) : 259 - 275
  • [30] IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
    Gulisashvili, Archil
    Stein, Elias M.
    MATHEMATICAL FINANCE, 2009, 19 (02) : 303 - 327
12345