Improvized implied volatility function and nonparametric approach to unbiased estimation
Year of publication: |
2023
|
---|---|
Authors: | Muhammad, Atif Sattar ; Zhang, Hailiang ; Kanwal, Samra ; Gardi, Bayar |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 1, Art.-No. 2250032, p. 1-14
|
Subject: | absolute smile approach | ad hoc Black-Scholes | heteroscedasticity | Option valuation | relative smile approach | smearing technique | weighted regression | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Optionsgeschäft | Option trading | Heteroskedastizität | Heteroscedasticity |
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