Venturing into uncharted territory: An extensible implied volatility surface model-Reference-Cited by-同舟云学术

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Venturing into uncharted territory: An extensible implied volatility surface model

Published:2022-07-13 Issue:10 Volume:42 Page:1912-1940
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

François Pascal¹^ORCID,Galarneau‐Vincent Rémi²,Gauthier Geneviève³⁴^ORCID,Godin Frédéric⁵^ORCID

Affiliation:

1. Department of Finance HEC Montréal Montréal Canada

2. Department of Decision Science HEC Montréal Montréal Canada

3. GERAD and Department of Decision Science HEC Montréal Canada

4. Associate member, Oxford-Man Institute of Quantitative Finance Oxford UK

5. Department of Mathematics and Statistics Concordia University Montréal Canada

Funder

Canadian Network for Research and Innovation in Machining Technology, Natural Sciences and Engineering Research Council of Canada

Hydro-Québec

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22364

Reference56 articles.

1. Ackerer D. Tagasovska N. &Vatter T.(2019).Deep smoothing of the implied volatility surface. InProceedings of the 34th Conference on Neural Information Processing Systems (NeurIPS 2020). Available at SSRN 3402942.

2. Model-free price hedge ratios for homogeneous claims on tradable assets

3. Alexiou L. Goyal A. Kostakis A. &Rompolis L.(2021).Pricing event risk: Evidence from concave implied volatility curves.Available at SSRN 3840081.

4. Robust estimation of risk‐neutral moments

5. Exploring Return Dynamics via Corridor Implied Volatility

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