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Estimating implied volatility surfaces using Bayesian splines under shape restrictions

  • Author
  • Guilherme Piantino
  • Co-authors
  • Márcio Laurini
  • Abstract
  • Keywords
  • Implicit Volatility, Non-parametric Estimation, Bayesian Methods, Market Expectations
  • Modality
  • Pôster
  • Subject Area
  • ESTE 2023
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Reference

PIANTINO, Guilherme; LAURINI, Márcio. Estimating implied volatility surfaces using Bayesian splines under shape restrictions. In: ESTE 2023 - Hotel Torres da Cachoeira, 2023. Available in: <https://doity.com.br/anais/este-2023/trabalho/287285>. Available in: 19/12/2024 at 03:44

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