Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Pascal Albert, Michael Herold, Matthias Muck
| Year of publication: |
2023
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|---|---|
| Authors: | Albert, Pascal ; Herold, Michael ; Muck, Matthias |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 43.2023, 12, p. 1807-1835
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| Subject: | microstructure noise | numerical errors | option-implied risk measures | rare disaster concerns | volatility smile construction | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Katastrophe | Disaster | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risikoprämie | Risk premium | Marktmikrostruktur | Market microstructure | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22457 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014433013