SVI estimation of the implied volatility by Kalman filter.
To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility. From a risk management perspective we generate th...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2010
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-13949 |