On extracting information implied in options (Q964639): Difference between revisions
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Revision as of 20:29, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On extracting information implied in options |
scientific article |
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On extracting information implied in options (English)
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22 April 2010
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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.
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state price density
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implied velocity
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European option
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locally quadratic regression
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constrained weighted least squares
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