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The simulation of the implied distribution and other smile consistent stochastic volatility models: An overview
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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, ATHENS, GREECE, MAY 24-27, 2001. Published in: FINANCIAL ENGINEERING, E-COMMERCE AND SUPPLY CHAIN, 70 pp. 189-212. ISBN 1-4020-0640-3. ISSN 1384-6485.
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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) | ||||
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Subjects: | H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management Q Science > QA Mathematics |
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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 | ||||
Official Date: | 2002 | ||||
Dates: |
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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 |
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