Does bid-ask spread explains the smile? : on DVF and DML
Pengshi Li, Yan Lin, Xing Yu, Guifang Liu
| Year of publication: |
2025
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|---|---|
| Authors: | Li, Pengshi ; Lin, Yan ; Yu, Xing ; Liu, Guifang |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 2013015-6. - Vol. 90.2025, Art.-No. 102645, p. 1-14
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| Subject: | CSI 300 options | Deterministic volatility function | Double machine learning | Implied volatility | Options pricing | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Geld-Brief-Spanne | Bid-ask spread | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Künstliche Intelligenz | Artificial intelligence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2024.102645 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015402318