Fitting the implied volatility surface

By:

Immanuel Dobler

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Paperback / softback

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Description

In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.

Release date Australia

September 29th, 2014

Author

Immanuel Dobler

Audience

General (US: Trade)

Pages

136

Dimensions

152x229x8

ISBN-13

9783639720501

Product ID

22886639

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