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- Author: Immanuel Dobler
- Publisher: AV Akademikerverlag
- Year: 2014
- Pages: 136
- ISBN-10: 3639720504
- ISBN-13: 9783639720501
- Format: 15.2 x 22.9 x 0.8 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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Description
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.
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- Author: Immanuel Dobler
- Publisher: AV Akademikerverlag
- Year: 2014
- Pages: 136
- ISBN-10: 3639720504
- ISBN-13: 9783639720501
- Format: 15.2 x 22.9 x 0.8 cm, minkšti viršeliai
- Language: English English
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.
Reviews