On extracting information implied in options
type: Item
instance of: scholarly article
title: On extracting information implied in options
zbMATH Open document ID: 1199.62030
published in: Computational Statistics
publication date: 2010-04-22T00:00:00Z
review text: Estimation of the implied velocity (IV) and state price density (SPD) by observed price data of European options is discussed. The authors propose to use nonparametric locally quadratic (or locally linear) estimates. The estimates are derived by constrained optimization of the weighted least squares criterion, where the constraints are needed to derive non-negative SPDs. Results of real data analyses are presented.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 5697308
zbMATH Keywords: state price density
zbMATH Keywords: implied velocity
zbMATH Keywords: European option
zbMATH Keywords: locally quadratic regression
zbMATH Keywords: constrained weighted least squares
author: Michal Benko
author: Matthias R. Fengler
author: Wolfgang K. Härdle
author: Miloš Kopa
MaRDI profile type: Publication
full work available at URL: s00180-007-0061-0
OpenAlex ID: W2071058234
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DOI: 10.1007/S00180-007-0061-0
description: scientific article; zbMATH DE number 5697308