controls the trade-off between smoothness and bid-offer compliance of the resulting volatility surface. Unlike previous …

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index …, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied … volatility correlates strongly with the volatility skew in S&P 500 options; (ii) VIX ATM implied volatility declines …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. …

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. …