{"title":"Regression-based Methods","authors":"A. Itkin","doi":"10.1142/9789811212772_0004","DOIUrl":null,"url":null,"abstract":"In this chapter we describe the second and, perhaps, the most popular approach to building the local volatility surface by regressions. Regression-based methods include both parametric and non-parametric fits. Usually, all these methods deal with construction of the implied volatility surface while the local volatility can be found afterwards by using Eq.(3.2) or any its flavor.","PeriodicalId":299787,"journal":{"name":"Fitting Local Volatility","volume":"102 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Fitting Local Volatility","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9789811212772_0004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
In this chapter we describe the second and, perhaps, the most popular approach to building the local volatility surface by regressions. Regression-based methods include both parametric and non-parametric fits. Usually, all these methods deal with construction of the implied volatility surface while the local volatility can be found afterwards by using Eq.(3.2) or any its flavor.
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