Implied volatility and state price density estimation: arbitrage analysis

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

zbMATH Keywords

option pricing; implied volatility; state price density; local polynomial smoothing; no-arbitrage conditions

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Implied Volatility Surface Estimation via Quantile Regularization

Cites Work

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