The prices of index options at a given date are usually represented via the corresponding
implied volatility surface, presenting skew/smile features and term structure which several …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

We propose a methodology for assessing model risk and apply it to the implied volatility
function (IVF) model. This is a popular model among traders for valuing exotic options. Our …

We propose a semiparametric factor model, which approximates the implied volatility
surface (IVS) in a finite dimensional function space. Unlike standard principal component …

For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to
investigate the behavior of the local volatilities and Black–Scholes volatilities implied by …

We propose a market–based approach to the modelling of implied volatility, in which the
implied volatility surface is directly used as the state variable to describe the joint evolution …

On the basis of transaction data, this paper analyzes the strike profile of implied volatilities of
German DAX options for a time to expiration of 45 days. Using WLS spline regressions over …

All methods for estimating the risk-neutral density from the volatility smile boil down to the
completion of the implied volatility function by interpolating between available strike prices …

OR techniques are applied to nonportfolio problems in financial markets, such as the equity,
debt, and foreign exchange markets and the corresponding derivatives markets. Finance …

Much attention has been devoted to understanding and modeling the dynamics of implied
volatility curves and surfaces. This is crucial for both trading, pricing and risk management of …