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
The Application of Symbolic Regression on Identifying Implied Volatility Surface
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DOI: 10.3390/math11092108
Abstract: One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and… read more here.
Keywords: implied volatility; volatility; symbolic regression; volatility surface ... See more keywords