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Option data and modeling BSM implied volatility

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abstract This contribution to the Handbook of Computational Finance, Springer-Verlag, gives an overview on modeling implied volatility data. After introducing the concept of Black-Scholes-Merton implied volatility (IV), the empirical stylized facts of IV data are reviewed. We then discuss recent results on IV surface dynamics and the computational aspects of IV. The main focus is on various parametric, semi- and nonparametric modeling strategies for IV data, including ones which respect no-arbitrage bounds.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1922441
   
type book chapter (English)
   
keywords implied volatility
   
book title Handbook of Computational Finance
date of appearance 2012
publisher .
page(s) 117-142
citation Fengler, M. (2012). Option data and modeling BSM implied volatility. In Handbook of Computational Finance (pp. 117-142): ..