Shape-preserving interpolation and smoothing for options market implied volatility
文献类型：期刊论文
| 作者 | Yin, H.1,2; Wang, Y.3; Qi, L.4 |
| 刊名 | Journal of optimization theory and applications
 |
| 出版日期 | 2009-07-01 |
| 卷号 | 142期号:1页码:243-266 |
| ISSN号 | 0022-3239 |
| 关键词 | Option price function Risk-neutral density Implied volatility Shape-preserving interpolation Nonparametric estimation |
| DOI | 10.1007/s10957-009-9541-4 |
| 通讯作者 | Yin, h.(hongxia.yin@mnsu.edu) |
| 英文摘要 | The interpolation of the market implied volatility function from several observations of option prices is often required in financial practice and empirical study. however, the results from existing interpolation methods may not satisfy the property that the european call option price function is monotonically decreasing and convex with respect to the strike price. in this paper, a modified convex interpolation method (with and without smoothing) is developed to approximate the option price function while explicitly incorporating the shape restrictions. the method is optimal for minimizing the distance between the implied risk-neutral density function and a prior density function, which allows us to benefit from nonparametric methodology and empirical experience. numerical performance shows that the method is accurate and robust. whether or not the sample satisfies the convexity and decreasing constraints, the method always works. |
| WOS关键词 | NEWTON METHOD ; ALGORITHM ; PRICES ; RISK |
| WOS研究方向 | Operations Research & Management Science ; Mathematics |
| WOS类目 | Operations Research & Management Science ; Mathematics, Applied |
| 语种 | 英语 |
| 出版者 | SPRINGER/PLENUM PUBLISHERS |
| WOS记录号 | WOS:000267785200013 |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2404935 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Yin, H. |
| 作者单位 | 1.Minnesota State Univ Mankato, Dept Math & Stat, Mankato, MN 56001 USA 2.Chinese Acad Sci, Grad Univ, CAS Res Ctr Fictitious Econ & Data Sci, Beijing, Peoples R China 3.Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China 4.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yin, H.,Wang, Y.,Qi, L.. Shape-preserving interpolation and smoothing for options market implied volatility[J]. Journal of optimization theory and applications,2009,142(1):243-266. |
| APA | Yin, H.,Wang, Y.,&Qi, L..(2009).Shape-preserving interpolation and smoothing for options market implied volatility.Journal of optimization theory and applications,142(1),243-266. |
| MLA | Yin, H.,et al."Shape-preserving interpolation and smoothing for options market implied volatility".Journal of optimization theory and applications 142.1(2009):243-266. |
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来源：中国科学院大学
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