Implied Stochastic Volatility Models

This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models

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Year of publication:	2019
Authors:	Aït-Sahalia, Yacine
Other Persons:	Li, Chenxu (contributor) ; Li, Chen Xu (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Theorie \| Theory \| Optionsgeschäft \| Option trading \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Aktienoption \| Stock option

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