Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Curve Fitting Method for Implied Volatility
Stockholms universitet, Samhällsvetenskapliga fakulteten, Företagsekonomiska institutionen. University of Chinese Academy of Sciences, China.
Rekke forfattare: 22018 (engelsk)Inngår i: Journal of Derivatives, ISSN 1074-1240, E-ISSN 2168-8524, Vol. 26, nr 2, s. 19-37Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Curve-fitting methods are widely used in derivatives markets for construction of the implied volatility surface (IVS). Here we discuss the goodness of fit, smoothness, and economic implications of 12 distinctive curve-fitting methods. The choice of method relies on specific requirements. When fitting the Chicago Board Options Exchange data, three interpolation methods were found to provide the best goodness, whereas quadratic regression, the Nadaraya–Watson kernel regression, and the theoretical Carr–Wu model generate the smoothest surfaces. Because of the irregular nature of the emerging options market data, we propose a transformation method to improve three statistical methods to satisfy the Lee’s condition. Empirically, quadratic regression provides the best goodness when fitting the China 50ETF options data. In addition, the Carr–Wu model is a very good alternative because it natively satisfies the Lee’s condition and has economic implications.

sted, utgiver, år, opplag, sider
2018. Vol. 26, nr 2, s. 19-37
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-163598DOI: 10.3905/jod.2018.26.2.019ISI: 000451834800003OAI: oai:DiVA.org:su-163598DiVA, id: diva2:1277874
Tilgjengelig fra: 2019-01-11 Laget: 2019-01-11 Sist oppdatert: 2019-01-11bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Søk i DiVA

Av forfatter/redaktør
Wu, Desheng
Av organisasjonen
I samme tidsskrift
Journal of Derivatives

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 26 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf