Estimating implied volatility surfaces using Bayesian splines under shape restrictions
This work develops a statistical model for estimating implied volatility surfaces, using information about the expectations of market agents contained in the market prices of options. The implied volatility curves are estimated by shape-constrained splines, using a Bayesian method (MCMC) that impose...
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| Formato: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2023 |
| País: | Brasil |
| Recursos: | Universidade de São Paulo (USP) |
| Repositorio: | Biblioteca Digital de Teses e Dissertações da USP |
| Idioma: | inglés |
| OAI Identifier: | oai:teses.usp.br:tde-06102023-094338 |
| Acesso em linha: | https://www.teses.usp.br/teses/disponiveis/96/96131/tde-06102023-094338/ |
| Access Level: | acceso abierto |
| Palavra-chave: | Bayesian methods Implied volatility Método bayesiano Options pricing Regressão via splines Splines regression Volatilidade implícita |
| Resumo: | This work develops a statistical model for estimating implied volatility surfaces, using information about the expectations of market agents contained in the market prices of options. The implied volatility curves are estimated by shape-constrained splines, using a Bayesian method (MCMC) that imposes no-arbitrage conditions on the price curve using shape restrictions. |
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