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
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
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2010:2010-32
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