Simulation of arbitrage-free implied volatility surfaces
| Autor: | Cont, R, Vuletic, M |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Popis: | We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface 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. Finally, we introduce VolGAN, a nonparametric generative model for implied volatility surfaces. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|