Cross-dependent volatility
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
The classical model for simultaneously calibrating stocks and index smiles is extremal within the class of CDV models, in the sense that the simplest volatility model calibrating to the N individual smiles is used, and the extra skewness of the index smile results purely from correlation.
CLICK HERE TO VIEW THE PDF
Here, we introduce another model, which is extremal in the opposite direction: the simplest correlation model (state-independent correlation) is imposed, and the extra skewness of the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
7 days in 60 seconds
AI in practice, EU clearing and post-Libor hedging
The week on Risk.net, February 8–14, 2020
Receive this by email