Implied volatility and state price density estimation: arbitrage analysis
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Publication:1789634
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
option pricing; implied volatility; state price density; local polynomial smoothing; no-arbitrage conditions
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
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