Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad Atif Sattar and Hailiang Zhang, Samra Kanwal, Bayar Gardi
| Year of publication: |
2023
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| 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
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| Subject: | absolute smile approach | ad hoc Black-Scholes | heteroscedasticity | Option valuation | relative smile approach | smearing technique | weighted regression | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Heteroskedastizität | Heteroscedasticity | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786322500323 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014251229