Venturing into uncharted territory: An extensible implied volatility surface model
提出一种新的因子模型来表示隐含波动率曲面，能有效捕捉货币性、期限斜率、微笑衰减和偏斜，且函数光滑可微，便于插值和外推。在标普500期权上拟合优于现有基准，并展示了平滑曲面在非流动衍生品估值、风险中性密度提取和期权敏感性计算中的应用。
Abstract A new factor‐based representation of implied volatility (IV) surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile attenuation, and the smirk. Furthermore, the IV specification is twice continuously differentiable and well‐behaved asymptotically, allowing for clean interpolation and extrapolation over a wide range of moneyness and maturity. Fitting performance on Standard and Poor's 500 options compares favorably with existing benchmarks. The benefits of a smoothed IV surface are illustrated through the valuation of illiquid index derivatives, the extraction of the risk‐neutral density and risk‐neutral moments, and the calculation of option price sensitivities.