Events at CERGE-EI

Thursday, 30 May, 2019 | 14:00 | Macro Research Seminar

Prof. Yacine Ait-Sahalia (Princeton U.) “Implied Stochastic Volatility Models”

Prof. Yacine Ait-Sahalia

Princeton University, USA


Authors: Yacine Aït-Sahalia, Chenxu Li, and Chen Xu Li

Abstract: 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.

Keywords: implied volatility surface, stochastic volatility, option pricing, closed-form expansion

JEL Classification: G12, C51, C52
Full Text:  “Implied Stochastic Volatility Models”