Template-Type:ReDIF-Paper 1.0  
Title:A Market Model for Stochastic Implied Volatility
Author-Name: Schönbucher, Philpp J.
Classification-JEL: G13
Keywords: 	option pricing, stochastic volatility, implied volatility
Abstract: In this paper a stochastic volatility model is presented that directly prescribes the stochastic
	development of the implied Black-Scholes volatilities of a set of given standard options. Thus the model is able
	to capture the stochastic movements of a full term structure of implied volatilities. The conditions are derived
	that have to be satisfied to ensure absence of arbitrage in the model and its numerical implementation is
	discussed.
Length: pages
Creation-Date: 
Revision-Date: 1999-05
Handle: RePEc:bon:bonsfb:453
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb453.pdf
File-Format: application/pdf
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