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- W1570743868 abstract "In this paper, we review widely used methods to extract local volatility surfaces (LVSs) from implied volatility surfaces (IVSs) and suggest a model averaging method for constructing implied and local volatility surfaces weighted by trading volumes. It makes use of model averaging method by means of bandwidth priors, and then produces a robust LVS estimation. The method is shown to provide the information about the confidence interval of estimators as well as a rather less variable weighted mean value for the IVS and LVS. To show the merits of our proposed method, we conduct simulations on equity-linked warrants (ELWs) with reasonable and acceptable results." @default.
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- W1570743868 date "2009-06-01" @default.
- W1570743868 modified "2023-09-28" @default.
- W1570743868 title "Model Averaging Methods for Estimating Implied and Local Volatility Surfaces" @default.
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