On short-time behavior of implied volatility in a market model with indexes

By Huy N. Chau, Duy Nguyen, Thai Nguyen

Published 2024-04-09

Everscope rating

1469.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Density expansion approach. Problem types: Time Series Forecasting, Option Pricing.

arXiv:2402.16509 · Code · Paper rankings

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