Implied volatility and state price density estimation: arbitrage analysis (Q1789634)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6950399
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Implied volatility and state price density estimation: arbitrage analysis |
scientific article; zbMATH DE number 6950399 |
Statements
Implied volatility and state price density estimation: arbitrage analysis (English)
0 references
10 October 2018
0 references
option pricing
0 references
implied volatility
0 references
state price density
0 references
no-arbitrage conditions
0 references
local polynomial smoothing
0 references
0.7643616199493408
0 references
0.7557756304740906
0 references
0.7426880598068237
0 references
0.7412249445915222
0 references
0.723804235458374
0 references
