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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.27 No.3
- 발행연도
- 2023.9
- 수록면
- 180 - 193 (14page)
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초록· 키워드
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Approximating the implied volatilities and estimating the model parameters are important topics in quantitative finance. This study proposes an approximation formula for short-maturity near-the-money implied volatilities in stochastic volatility models. A general second-order nonlinear PDE for implied volatility is derived in terms of time-to-maturity and log-moneyness from the Feyman-Kac formula. Using regularity conditions and the Taylor expansion, an approximation formula for implied volatility is obtained for short-maturity nearthe-money call options in two stochastic volatility models: Heston model and SABR model. In addition, we proposed a novel numerical method to estimate model parameters. This method reduces the number of model parameters that should be estimated. Generating sample data on log-moneyness, time-to-maturity, and implied volatility, we estimate the model parameters fitting the sample data in the above two models. Our method provides parameter estimates that are close to true values.
목차
ABSTRACT
1. INTRODUCTION
2. HESTON MODEL
3. SABR MODEL
4. CONCLUSION
REFERENCES
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