ScholarLens Back to search
2017•Unpublished venueRequires access

Comparison of Several Implied Volatility Models

Ying Zhuang, Meiqing Wang

Open publisher page 0 citations

Abstract

The implied volatility is an important parameter when the trader need to quote the prices of options. The famous B-S Model assumes that the implied volatility surface is a constant independent of the option's strike and time to maturity. But empirical analysis has proved that implied volatility surface is a non-flat function. There are several popular methods to construct the implied volatility surface. In this paper, the parameter affection and performance of several models are compared and tested by using empirical analysis.

About this research paper

What this paper is about

The implied volatility is an important parameter when the trader need to quote the prices of options. The famous B-S Model assumes that the implied volatility surface is a constant independent of the option's strike and time to maturity. But empirical analysis has proved that implied volatility surface is a non-flat function. There are several popular methods to construct the implied volatility surface. In this paper, the parameter affection and performance of several models are compared and tested by using empirical analysis.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

The implied volatility is an important parameter when the trader need to quote the prices of options. The famous B-S Model assumes that the implied volatility surface is a constant independent of the option's strike and time to maturity. But empirical analysis has proved that implied volatility surface is a non-flat function. There are several popular methods to construct the implied volatility surface. In this paper, the parameter affection and performance of several models are compared and tested by using empirical analysis.

Key concepts: Implied volatility, Volatility (finance), Volatility smile, Econometrics, Forward volatility, Stochastic volatility, Variance swap, Volatility swap

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Comparison of Several Implied Volatility Models — Research Paper | ScholarLens