![]() proposed the so called SVI (Stochastic Volatility Inspired) function to estimate all the implied volatility surface σ = a+b 2 +σ. There is a simple economic argument which justifies the mean reversion of volatility (the same argument that is used to justify the mean reversion of interest rates).BibTeX author = al. In the model, this is a consequence of the mean reversion of volatility1. The volatility clustering feature implies that volatility (or variance) is auto-correlated. 2 Mathematical properties : strike indepen- dent local volatility The dependence v w (see previous section for notations) is not straight- forward to analyze, we refer to [Berestycki et al., 2002.
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