回归方法

Fitting Local Volatility Pub Date : 2020-01-27 DOI:10.1142/9789811212772_0004

A. Itkin

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引用次数: 1

摘要

在本章中，我们描述了第二种，也许是最流行的方法，通过回归来构建局部波动面。基于回归的方法包括参数拟合和非参数拟合。通常，所有这些方法都是处理隐含波动率曲面的构造，而局部波动率可以随后使用Eq.(3.2)或其任何形式来找到。

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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Regression-based Methods

In this chapter we describe the second and, perhaps, the most popular approach to building the local volatility surface by regressions. Regression-based methods include both parametric and non-parametric fits. Usually, all these methods deal with construction of the implied volatility surface while the local volatility can be found afterwards by using Eq.(3.2) or any its flavor.

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Fitting Local Volatility

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