A market model for stochastic implied volatility
A market model for stochastic implied volatility
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DOI：
10.1098/rsta.1999.0418
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
P. J. Schonbucher
中科院分区：
文献类型：
--
作者：
P. J. Schonbucher
本文提出了一个随机波动率模型，该模型直接描述了一组给定的标准期权的隐含Black-Scholes波动率的随机发展。因此，该模型能够捕捉隐含波动率的完整期限结构的随机运动。给出了保证模型无套利所需满足的条件，并讨论了其数值实现。
In this paper a stochastic volatility model is presented that directly prescribes the stochastic development of the implied Black-Scholes volatilities of a set of given standard options. Thus the model is able to capture the stochastic movements of a full term structure of implied volatilities. The conditions are derived that have to be satisfied to ensure absence of arbitrage in the model and its numerical implementation is discussed.