Implied volantility and state price density estimation : arbitrage analysis
Miloš Kopa, Sebastiano Vitali, Tomáš Tichý, Radek Hendrych
| Year of publication: |
October 2017
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|---|---|
| Authors: | Kopa, Miloš ; Vitali, Sebastiano ; Tichý, Tomáš ; Hendrych, Radek |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 14.2017, 4, p. 559-583
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| Subject: | Option pricing | Implied volatility | State price density | No-arbitrage conditions | Local polynomial smoothing | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Arbitrage | Schätztheorie | Estimation theory | Arbitrage Pricing | Arbitrage pricing | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-017-0283-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011758973