Implied volatility functions: a reprise

J. Rosenberg
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引用次数: 38

Abstract

This paper proposes and investigates a class of dynamic implied volatility function models (DIVF). This class of models separates the time-invariant implied volatility function from the stochastic state variables which drive changes in the individual implied volatilities. The dynamics of the state variables are modeled explicitly. This framework facilitates consistent pricing and hedging with time-variation in the IVF.
隐含波动率函数:再现
本文提出并研究了一类动态隐含波动率函数模型。这类模型将定常隐含波动率函数与驱动单个隐含波动率变化的随机状态变量分离开来。对状态变量的动态进行了显式建模。该框架有助于在试管婴儿中保持一致的定价和对冲时间变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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