Implied local volatility models

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-11-19 DOI:10.1016/j.jempfin.2024.101567

Chen Xu Li , Chenxu Li , Chun Li

引用次数: 0

Abstract

This paper proposes data-driven “implied local volatility models” that are designed to fit the observed level, slope, convexity, and term-structure slope of implied volatility surface at any maturity and strike. The method of construction hinges on the Taylor structure of implied volatility under generic local volatility models and the formula of Dupire (1994). An empirical application to the S&P 500 index options data validates the stable performance of our method in and out of sample and triggers several economic interpretations before, during, and in the aftermath of COVID-19 pandemic. The flexibility of our method is further consolidated by the case study on fitting (ultra) short-maturity implied volatilities and concave implied volatility curves.

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隐含局部波动率模型

本文提出了数据驱动的“隐含局部波动率模型”，该模型旨在拟合任意期限和走向下隐含波动率面的观测水平、斜率、凸度和期限结构斜率。构建方法依赖于一般局部波动率模型下隐含波动率的泰勒结构和Dupire（1994）的公式。对标准普尔500指数期权数据的实证应用验证了我们的方法在样本内外的稳定表现，并在COVID-19大流行之前、期间和之后引发了几种经济解释。通过拟合（超）短期隐含波动率和凹隐含波动率曲线的案例研究，进一步验证了该方法的灵活性。

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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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.