Документ взят из кэша поисковой машины. Адрес оригинального документа : http://www.mce.biophys.msu.ru/archive/doc27212/eng.pdf Дата изменения: Mon Oct 1 21:56:57 2012 Дата индексирования: Mon Oct 1 21:56:57 2012 Кодировка:

THE INDUCTIVE GENERATION OF THE VOLATILITY SMILE REGRESSION MODELS Strizhov V., Sologub R.
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Computing Centre of the Russian Academy of Sciences, Vavilov st. 40, 119333 Moscow, Russia, Tel: 499135 4163 E-mail: strijov@gmail.com Moscow Institute of Physics and Technology, 141700, 9, Institutskii per., Dolgoprudny, Moscow Region, Tel: 9067915054 E-mail: roman.sologub@yahoo.com Models of European-type options could be based on maturity and strike price as independent variables. The authors suppose the volatility smile models based not only the expert knowledge, but also on the measured data. The model generation algorithm was proposed. It generates volatility models of the optimal structure inductively using implied volatility data and expert considerations. The models satisfy expert assessments. The S&P500 option was considered as an example. The project was supported by RFBR, 07-07-00181. References 1. R. Tompkins. Implied Volatility Surfaces: Uncovering regularities for options on financial futures // Working paper, Vienna University of Technology. 2. Daglish T., Hull J., Suo W. Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence // Quantitative Finance. Vol. 7, No. 5. 2007. P. 507-524. 3. Strizhov V. The search of a parametric regression model in an inductive-generated set // Journal of Computational Technologies. 2007. No 1. P. 93-102.
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