Option data and modeling BSM implied volatility

Matthias Fengler

University of St. Gallen Department of Economics working paper series 2010 from Department of Economics, University of St. Gallen

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.

Keywords: Implied; volatility (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2010-12
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://ux-tauri.unisg.ch/RePEc/usg/dp2010/DP-1032-Fe.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2010:2010-32

Access Statistics for this paper

More papers in University of St. Gallen Department of Economics working paper series 2010 from Department of Economics, University of St. Gallen Contact information at EDIRC.
Bibliographic data for series maintained by Martina Flockerzi ().