Estimating implied volatility surfaces using Bayesian splines under shape restrictions

Estimating implied volatility surfaces using Bayesian splines under shape restrictions

• Autor
• Guilherme Piantino
• 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

• Palavras-chave
• Implicit Volatility, Non-parametric Estimation, Bayesian Methods, Market Expectations
• Área Temática
• Asset pricing, investments, and Derivatives

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