Modelling the implied volatility surface based on Shanghai 50ETF options
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DOI: 10.1016/j.econmod.2017.04.009
Abstract: We develop a dynamic factor model to forecast the implied volatility surface (IVS) of Shanghai Stock Exchange 50ETF options. Based on the assumption that dynamic change in IVS is mean-reverting and Markovian, we use a… read more here.
Keywords: modelling implied; 50etf options; volatility surface; implied volatility ... See more keywords