• DocumentCode
    2028146
  • Title

    Implied volatility functions: a reprise

  • Author

    Rosenberg, Joshua V.

  • Author_Institution
    Stern Sch. of Bus., New York Univ., NY, USA
  • fYear
    2000
  • fDate
    2000
  • Firstpage
    12
  • Lastpage
    14
  • Abstract
    This paper proposes and investigates a class of dynamic implied volatility function models (DIVF). This class of models separates the time-invariant implied volatility function from the stochastic state variables which drive changes in the individual implied volatilities. The dynamics of the state variables are modeled explicitly. This framework facilitates consistent pricing and hedging with time-variation in the IVF
  • Keywords
    financial data processing; stock markets; consistent pricing; dynamic implied volatility function models; hedging; stochastic state variables; time-invariant implied volatility function; Contracts; Finance; In vitro fertilization; Measurement standards; Pricing; Principal component analysis; Stability; Testing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
  • Conference_Location
    New York, NY
  • Print_ISBN
    0-7803-6429-5
  • Type

    conf

  • DOI
    10.1109/CIFER.2000.844587
  • Filename
    844587
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2028146