On extracting information implied in options
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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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Cited in
(21)- Fast algorithm for nonparametric arbitrage-free SPD estimation
- Implied volatility and state price density estimation: arbitrage analysis
- Extracting market information from equity options with exponential Lévy processes
- Explaining S{\&}P500 option returns: an implied risk-adjusted approach
- Revealing the implied risk-neutral MGF from options: the wavelet method
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Measuring expectations in options markets: an application to the S\&P500 index
- Extracting implied dividends from options prices: Some applications to the Italian derivatives market
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- Arbitrage-free smoothing of the implied volatility surface
- On inferring standard deviations from path dependent options
- The shape of small sample biases in pricing kernel estimations
- State price densities implied from weather derivatives
- Implied volatility surface estimation via quantile regularization
- Generative Bayesian neural network model for risk-neutral pricing of American index options
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- Investment disputes and their explicit role in option market uncertainty and overall risk instability
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Implied volatility smoothing at COVID-19 times
- Using equity options to imply credit information
- Using interpolated implied volatility for analysing exogenous market changes
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