Model-free stochastic collocation for an arbitrage-free implied volatility: Part I

被引：3
|
作者：
Le Floc'h, Fabien [1 ]
Oosterlee, Cornelis W. [1 ,2 ]
机构：
[1] Delft Univ Technol, Delft Inst Appl Math, Delft, Netherlands
[2] CWI, Amsterdam, Netherlands
来源：
DECISIONS IN ECONOMICS AND FINANCE | 2019年 / 42卷 / 02期
关键词：
Stochastic collocation; Implied volatility; Quantitative finance; Arbitrage-free; Risk-neutral density; MONOTONE;
D O I：
10.1007/s10203-019-00238-x
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
This paper explains how to calibrate a stochastic collocation polynomial against market option prices directly. The method is first applied to the interpolation of short-maturity equity option prices in a fully arbitrage-free manner and then to the joint calibration of the constant maturity swap convexity adjustments with the interest rate swaptions smile. To conclude, we explore some limitations of the stochastic collocation technique.
引用
收藏
页码：679 / 714
页数：36
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