UNSPECIFIED (2002) The simulation of the implied distribution and other smile consistent stochastic volatility models: An overview. In: International Conference on Financial Engineering, E-Commerce and Supply Chain, MAY 24-27, 2001, ATHENS, GREECE.

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Abstract

This review paper focuses on the smile-consistent stochastic volatility models. Smile-consistent stochastic volatility models take the European options' market prices as given, and they try to explain the stochastic evolution of implied volatilities over time across strikes and maturities. The main ideas behind the models by Derman and Kani (1998), Ledoit and Santa-Clara (1999), and Britten-Jones and Neuberger (1999) are highlighted. In addition, the concept and the applications of a new methodology for smile-consistent stochastic volatility pricing, that of the simulation of the implied distribution, arc discussed. The simulation model by Skiadopoulos and Hodges (2001) is explained.

Item Type:	Conference Item (UNSPECIFIED)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management Q Science > QA Mathematics
Series Name:	APPLIED OPTIMIZATION
Journal or Publication Title:	FINANCIAL ENGINEERING, E-COMMERCE AND SUPPLY CHAIN
Publisher:	SPRINGER
ISBN:	1-4020-0640-3
ISSN:	1384-6485
Editor:	Pardalos, PM and Tsitsiringos, VK
Date:	2002
Volume:	70
Number of Pages:	24
Page Range:	pp. 189-212
Publication Status:	Published
Title of Event:	International Conference on Financial Engineering, E-Commerce and Supply Chain
Location of Event:	ATHENS, GREECE
Date(s) of Event:	MAY 24-27, 2001
URI:	http://wrap.warwick.ac.uk/id/eprint/10321

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