A market model for stochastic implied volatility
A market model for stochastic implied volatility
复制标题
DOI:
10.1098/rsta.1999.0418
复制
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
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.