Fitting the implied volatility surface: An efficient optimization technique - Immanuel Dobler
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Toimitus 12-18 arkipäivässä
30 päivän palautusoikeus
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain par ... Täydellinen kuvaus
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Kuvaus
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.
Lisätietoja
| Kirjoittaja | Immanuel Dobler |
|---|---|
| Julkaisija | AV Akademikerverlag |
| Julkaisuvuosi | 2014 |
| Kannen tyyppi | Pehmeäkantinen |
| EAN | 9783639720501 |