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BESS - Implied Stochastic Volatility Models

The CEU Campus
Monday, May 27, 2019, 11:00 am – 12:15 pm


This paper proposes to build "implied stochastic volatility models" designed to fit option-implied volatility data, and implements a method to construct such models. The method is based on explicitly linking shape characteristics of the implied volatility surface to the specification of the stochastic volatility model. We propose and implement parametric and nonparametric versions of implied stochastic volatility models.