Implied Volatility Surface Estimation via Quantile Regularization

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Implied Volatility Surface Estimation via Quantile Regularization

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Implied Volatility Surface Estimation via Quantile Regularization

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GJ18-00522Y" target="_blank" >GJ18-00522Y: Pokročilé Ekonometrické Modely pro Oceňování Opcí – AdEMOP</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Springer Proceedings in Mathematics and Statistics

ISBN

978-3-030-48813-0

ISSN

2194-1009

e-ISSN

—

Počet stran výsledku

15

Strana od-do

73-87

Název nakladatele

Springer

Místo vydání

Heidelberg

Místo konání akce

Liberec

Datum konání akce

16. 9. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—