Implied volatility smoothing at COVID-19 times

DOI10.1007/s10287-023-00465-zOpenAlexW4382280285MaRDI QIDQ6134304

Miloš Kopa, Sebastiano Vitali, Gabriele Giana

Publication date: 22 August 2023

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-023-00465-z

zbMATH Keywords

implied volatilitystate price densitylocal polynomial smoothingCOVID-19no-arbitrage conditions

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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