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A two-step framework for arbitrage-free prediction of the implied volatility surface
Work
Year: 2022
Type: article
Abstract: In this study, we propose a two-step framework to predict the implied volatility surface (IVS) in a manner that excludes static arbitrage. First, we select features to represent the surface and predic... more
Source: Quantitative Finance
Authors Wenyong Zhang, Lingfei Li, Gongqiu Zhang
Institutions Chinese University of Hong Kong, Chinese University of Hong Kong, Shenzhen
Cites: 33
Cited by: 9
Related to: 10
FWCI: 2.307
Citation percentile (by year/subfield): 86.27
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funders National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS 12171408, 11801423