Option data and modeling BSM implied volatility
Series
Springer handbooks of computational statistics
ISBN
978-3-642-17253-3
Type
book section
Date Issued
2012
Author(s)
Editor(s)
Jin-Chuan, Duan
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.
Language
English
Keywords
implied volatility
HSG Classification
not classified
Refereed
No
Book title
Handbook of Computational Finance
Publisher
Springer
Publisher place
Heidelberg
Start page
117
End page
142
Pages
26
Subject(s)
Eprints ID
206765