Implied volatility and state price density estimation: arbitrage analysis

DOI10.1007/s10287-017-0283-8;zbMath1416.91378MaRDI QIDQ1789634

Sebastiano Vitali, Miloš Kopa, Radek Hendrych, Tomas Tichý

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://rd.springer.com/content/pdf/10.1007%2Fs10287-017-0283-8.pdf

zbMATH Keywords

option pricingimplied volatilitystate price densitylocal polynomial smoothingno-arbitrage conditions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Implied volatility smoothing at COVID-19 times ⋮ Implied Volatility Surface Estimation via Quantile Regularization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Implied volatility in oil markets
• On extracting information implied in options
• The dynamics of implied volatilities: a common principal components approach
• Nonlinear time series. Nonparametric and parametric methods
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Semiparametric modeling of implied volatility.
• Arbitrage-free approximation of call price surfaces and input data risk
• Option Data and Modeling BSM Implied Volatility
• Arbitrage-free smoothing of the implied volatility surface
• Calibrating volatility surfaces via relative-entropy minimization
• Dynamics of implied volatility surfaces

This page was built for publication: Implied volatility and state price density estimation: arbitrage analysis