On extracting information implied in options

DOI10.1007/s00180-007-0061-0zbMath1199.62030OpenAlexW2071058234MaRDI QIDQ964639

Matthias R. Fengler, Wolfgang Karl Härdle, Miloš Kopa, Michal Benko

Publication date: 22 April 2010

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-007-0061-0

zbMATH Keywords

state price densityEuropean optionconstrained weighted least squaresimplied velocitylocally quadratic regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

Related Items (11)

Arbitrage-free approximation of call price surfaces and input data risk ⋮ The shape of small sample biases in pricing kernel estimations ⋮ 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 ⋮ Implied Volatility Surface Estimation via Quantile Regularization ⋮ Implied volatility and state price density estimation: arbitrage analysis ⋮ Explaining S{\&}P500 option returns: an implied risk-adjusted approach ⋮ Generative Bayesian neural network model for risk-neutral pricing of American index options ⋮ Arbitrage-free smoothing of the implied volatility surface ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• The dynamics of implied volatilities: a common principal components approach
• Semiparametric modeling of implied volatility.
• Arbitrage-free smoothing of the implied volatility surface
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