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Implied Stochastic Volatility Models by Yacine Ait-Sahalia

Date: 12:30 30 April 2019 - 13:30 30 April 2019
Type: Seminar
Speaker: Yacine Ait-Sahalia Princeton
Venue: Institute for Fiscal Studies
Prices: Free


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.


Please click here for the paper. 

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