Fitting and testing for the implied volatility curve using parametric models

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104854

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104854

Title:	Fitting and testing for the implied volatility curve using parametric models
Authors:	周賓凰;Chang, Chuang-Chang;Chou, Pin-Huang;Liao, Tzu-Hsiang
Contributors:	管理學院財務金融學系
Keywords:	Comparative analysis;Hypothesis;Knowledge;Linear models;Market;Mathematical models;Options markets;Robustness;Studies;Tests;Volatility
Date:	2012-12-01
Issue Date:	2026-04-23 11:59:50 (UTC+8)
Publisher:	Wiley-Liss Inc.;Hoboken: Blackwell Publishing Ltd
Abstract:	摘要： Numerous issues have arisen over the past few decades relating to the implied volatility smile in the options market; however, the extant literature reveals that relatively little effort has thus far been placed into comparing the various implied volatility models, essentially as a result of the lack of any theoretical foundation on which to base such comparative analysis. In this study, we use a comprehensive options database and employ methods of combining the various hypothesis tests to compare the different implied volatility models. To the best of our knowledge, this is the first study of its kind to address this issue using combination tests. Our empirical results reveal that the linear piecewise model is the most appropriate model for capturing the implied volatility smile, with additional robustness checks confirming the validity of this finding. 其他題名： J. Fut. Mark 出版者： Hoboken: Blackwell Publishing Ltd 出版日期： 2012-12 出處： The journal of futures markets, 2012-12, Vol.32 (12), p.1171-1191 資源來源： Wiley Online Library - AutoHoldings Journals 版權： 2011 Wiley Periodicals, Inc. 版權： Copyright Wiley Periodicals Inc. Dec 2012 識別號： ISSN: 0270-7314 識別號： ISSN: 1096-9934 識別號： EISSN: 1096-9934 識別號： DOI: 10.1002/fut.20549 識別號： CODEN: JFMADT
Appears in Collections:	[Department of Finance] journal & Dissertation

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