Using interpolated implied volatility for analysing exogenous market changes
type: Item
instance of: scholarly article
title: Using interpolated implied volatility for analysing exogenous market changes
author: Matúš Maciak
author: Sebastiano Vitali
published in: Computational Management Science
publication date: 2024-05-14T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7848239
zbMATH Keywords: implied volatility
zbMATH Keywords: exogenous effects
zbMATH Keywords: artificial options
zbMATH Keywords: constant time to maturity
zbMATH Keywords: panel data
zbMATH Keywords: changepoint detection
MaRDI profile type: Publication
cites work: Testing for jumps in a discretely observed process
cites work: Tests for Parameter Instability and Structural Change With Unknown Change Point
cites work: On extracting information implied in options
cites work: The pricing of options and corporate liabilities
cites work: Darling-Erdős limit results for change-point detection in panel data
cites work: Q4348180
cites work: Testing and detecting jumps based on a discretely observed process
cites work: Semiparametric modeling of implied volatility.
cites work: Option Data and Modeling BSM Implied Volatility
cites work: Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
cites work: Arbitrage-free approximation of call price surfaces and input data risk
cites work: Change‐point detection in panel data
cites work: Beyond Parametrics in Interdisciplinary Research: Festschrift in Honor of Professor Pranab K. Sen
cites work: Testing for changes in multivariate dependent observations with an application to temperature changes
cites work: Generative Bayesian neural network model for risk-neutral pricing of American index options
cites work: Implied volatility and state price density estimation: arbitrage analysis
cites work: Changepoint in dependent and non-stationary panels
cites work: Exogenous and endogenous price jumps belong to different dynamical classes
cites work: Changepoint estimation for dependent and non-stationary panels.
cites work: Abrupt change in mean using block bootstrap and avoiding variance estimation
cites work: Testing for Change Points in Time Series
DOI: 10.1007/S10287-024-00505-2
description: scientific article; zbMATH DE number 7848239