Journal article
Simulation of arbitrage-free implied volatility surfaces
- Abstract:
- We present a computationally tractable method for simulating arbitrage-free implied volatility surfaces. We illustrate how our method may be combined with a data-driven model based on historical SPX implied volatility data to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach conciliates static arbitrage constraints with a realistic representation of statistical properties of implied volatility co-movements.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 6.3MB, Terms of use)
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- Publisher copy:
- 10.1080/1350486X.2023.2277960
Authors
- Publisher:
- Taylor and Francis
- Journal:
- Applied Mathematical Finance More from this journal
- Volume:
- 30
- Issue:
- 2
- Pages:
- 94-121
- Publication date:
- 2023-11-22
- Acceptance date:
- 2023-10-25
- DOI:
- EISSN:
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1466-4313
- ISSN:
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1350-486X
- Language:
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English
- Keywords:
- Pubs id:
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1553271
- Local pid:
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pubs:1553271
- Deposit date:
-
2023-10-28
- ARK identifier:
Terms of use
- Copyright holder:
- Cont and Vuletić
- Copyright date:
- 2023
- Rights statement:
- © 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with theirconsent.
- Licence:
- CC Attribution (CC BY)
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