A Gaussian semi-parametric implied volatility model
Modeling the implied volatility has received extensive attention, as the implied volatility is an important parameter in option pricing. Usually the implied volatility can be approximated by fitting a polynomial about the strike and the maturity or by stochastic methods. In this article, a Gaussian...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2017-09-01
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| Series: | Journal of Algorithms & Computational Technology |
| Online Access: | https://doi.org/10.1177/1748301817709602 |