隐含波动面:构造方法与特征

Cristian Homescu
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引用次数: 64

摘要

隐含波动面(IVS)是计算金融的基本组成部分。我们提供了构造这样的曲面的方法的调查。我们还讨论了在实践中影响IVS成功构建的各种主题:罢工和时间的无套利条件,如何在核心区域外进行外推,校准函数的选择和数值优化算法的选择,波动面动力学和渐近性。
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Implied Volatility Surface: Construction Methodologies and Characteristics
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both strike and time, how to perform extrapolation outside the core region, choice of calibrating functional and selection of numerical optimization algorithms, volatility surface dynamics and asymptotics.
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