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Implied volatility smoothing at COVID-19 times - MaRDI portal

Implied volatility smoothing at COVID-19 times (Q6134304)

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scientific article; zbMATH DE number 7730671
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English
Implied volatility smoothing at COVID-19 times
scientific article; zbMATH DE number 7730671

    Statements

    title
    Implied volatility smoothing at COVID-19 times (English)
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    author
    Sebastiano Vitali
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    Miloš Kopa
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    Gabriele Giana
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    publication date
    22 August 2023
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    zbMATH Keywords
    COVID-19
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    implied volatility
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    state price density
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    no-arbitrage conditions
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    local polynomial smoothing
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    Identifiers

    zbMATH DE Number
    7730671
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    OpenAlex ID
    W4382280285
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