Image de couverture de livre

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Cheng, Liexin, Cheng, Xue
Format:	Preprint
Publié:	2024
Sujets:	Pricing of Securities Mathematical Finance
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
par: Cheng, Liexin, et autres
Publié: (2024)

An Explicit Solution to Black-Scholes Implied Volatility
par: Schadner, Wolfgang
Publié: (2026)

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
par: Liu, Yuhao, et autres
Publié: (2025)

HJM Local Volatility Model
par: Belyaev, V. M.
Publié: (2023)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
par: Grzelak, Lech A.
Publié: (2022)

Faster Monotone Implied Volatility Solver
par: Floc'h, Fabien Le
Publié: (2026)

Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
par: Mensah, Abigail Anokyewaa, et autres
Publié: (2026)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
par: Ter-Avanesov, Boris, et autres
Publié: (2024)

Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
par: Floc'h, Fabien Le
Publié: (2026)

Volatility models in practice: Rough, Path-dependent or Markovian?
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
par: Gnawali, Jagdish, et autres
Publié: (2024)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
par: Abbas-Turki, Lokman A, et autres
Publié: (2026)

An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
par: Wu, Keyuan, et autres
Publié: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
par: Floc'h, Fabien Le
Publié: (2025)

Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
par: Hou, Liang, et autres
Publié: (2024)

Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
par: Lindquist, W. Brent, et autres
Publié: (2024)

Volatility Shocks and Currency Returns
par: Babiak, Mykola, et autres
Publié: (2021)

Small Volatility Approximation and Multi-Factor HJM Models
par: Belyaev, V. M.
Publié: (2025)

Stochastic Expansion for the Pricing of Asian and Basket Options
par: Floc'h, Fabien Le
Publié: (2024)

Unifying Market Microstructure and Dynamic Asset Pricing
par: Lauria, Davide, et autres
Publié: (2023)

Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
par: Guillaume, Tristan
Publié: (2026)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
par: Floc'h, Fabien Le
Publié: (2025)

A Unifying Approach for the Pricing of Debt Securities
par: Vachon, Marie-Claude, et autres
Publié: (2024)

Multi-asset and generalised Local Volatility. An efficient implementation
par: Deloire, Olivier, et autres
Publié: (2024)

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile
par: Tsuchiya, Osamu
Publié: (2026)

Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
par: Press, William H., et autres
Publié: (2026)

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
par: Halperin, Igor, et autres
Publié: (2025)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
par: Romero-Bermúdez, Aurelio, et autres
Publié: (2024)

Risk-Neutral Generative Networks
par: Xian, Zhonghao, et autres
Publié: (2024)

Designing funding rates for perpetual futures in cryptocurrency markets
par: Kim, Jaehyun, et autres
Publié: (2025)

Amortizing Perpetual Options
par: Feinstein, Zachary
Publié: (2025)

VIX and European options with jumps in the short-maturity regime
par: Guo, Desen, et autres
Publié: (2026)

The Volterra Stein-Stein model with stochastic interest rates
par: Jaber, Eduardo Abi, et autres
Publié: (2025)

Perpetual Futures Pricing
par: Ackerer, Damien, et autres
Publié: (2023)

Explicit local volatility formula for Cheyette-type interest rate models
par: Gairat, Alexander, et autres
Publié: (2025)

Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation
par: Tsuchiya, Osamu
Publié: (2026)

Crypto Inverse-Power Options and Fractional Stochastic Volatility
par: Li, Boyi, et autres
Publié: (2024)

Neural Term Structure of Additive Process for Option Pricing
par: Lin, Jimin, et autres
Publié: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
par: Ling, Patrick
Publié: (2025)

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
par: Jaber, Eduardo Abi, et autres
Publié: (2024)