Implied Volatility Surface Estimation via Quantile Regularization

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10434749" target="_blank" >RIV/00216208:11320/20:10434749 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1007/978-3-030-48814-7_4" target="_blank" >https://doi.org/10.1007/978-3-030-48814-7_4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-030-48814-7_4" target="_blank" >10.1007/978-3-030-48814-7_4</a>

Result language
angličtina
Original language name
Implied Volatility Surface Estimation via Quantile Regularization
Original language description
The implied volatility function and the implied volatility surface are both key tools for analyzing financial and derivative markets and various approaches were proposed to estimate theses quantities. On the other hand, theoretical, practical, and also computational pitfalls occur in most of them. An innovative estimation method based on an idea of a sparse estimation and an atomic pursuit approach is introduced to overcome some of these limits: the quantile LASSO estimation implies robustness with respect to common market anomalies; the panel data structure allows for a time dependent modeling; changepoints introduce some additional flexibility in order to capture some sudden changes in the market and linear constraints ensure the arbitrage-free validity; last but not least, the interpolated implied volatility concept overcomes the problem of consecutive maturities when observing the implied volatility over time. Some theoretical backgrounds for the quantile LASSO estimation method are presented, the idea of the interpolated volatilities is introduced, and the proposed estimation approach is applied to estimate the implied volatility of the Erste Group Bank AG call options quoted in EUREX Deutschland Market.
Czech name
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Czech description
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Project
<a href="/en/project/GJ18-00522Y" target="_blank" >GJ18-00522Y: Advanced Econometric Models for Option Pricing – AdEMOP</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Springer Proceedings in Mathematics and Statistics
ISBN
978-3-030-48813-0
ISSN
2194-1009
e-ISSN
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Number of pages
15
Pages from-to
73-87
Publisher name
Springer
Place of publication
Heidelberg
Event location
Liberec
Event date
Sep 16, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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