Implied volatility smoothing at COVID-19 times
Year of publication: |
2023
|
---|---|
Authors: | Vitali, Sebastiano ; Kopa, Miloš ; Giana, Gabriele |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 20.2023, 1, Art.-No. 32, p. 1-42
|
Subject: | COVID-19 | Implied volatility | Local polynomial smoothing | No-arbitrage conditions | State price density | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Coronavirus | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
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