{"title":"Implied volatility functions: a reprise","authors":"J. Rosenberg","doi":"10.1109/CIFER.2000.844587","DOIUrl":null,"url":null,"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.","PeriodicalId":308591,"journal":{"name":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1999-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"38","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CIFER.2000.844587","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.