Link : https://cambridge-repository.netlify.app/lihui.htm
Title : Volatility Surface Construction in European Options
Author : Li, Hui
Supervisor : Dempster, Michael
Date Submitted : 2024-04-01
Keywords : Hui Li, PhD thesis, Cambridge University, Mathematics, Financial Mathematics, Volatility, Options
The thesis presents a comprehensive framework for constructing volatility surfaces for European options, a crucial component in option pricing and risk management. By analyzing market dynamics, implied volatility data, and existing modeling approaches, Hui Li introduces an enhanced methodology that integrates current market information more accurately.
Historical data testing demonstrates that the proposed method provides improved prediction accuracy and pricing reliability under various market conditions. The framework offers practical insights for traders and contributes significantly to financial modeling theory.
This thesis was funded by the Engineering and Physical Sciences Research Council (EPSRC), submitted on October 1, 2024, and is published under the CC BY 4.0 license.