Search Results - subject:"Arbitrage constraints"

Risk-neutral skewness and stock market returns : a time-series analysis

Li, Xiaowei; Wu, Zhengyu; Zhang, Hao; Zhang, Lu - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014491948

Earnings information, arbitrage constraints, and the forecast dispersion anomaly

Kim, Soonho; Na, Haejung - In: Finance research letters 35 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012439091

Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints

Monteiro, Ana M.; Santos, Antonio A. F. - In: Review of derivatives research 23 (2020) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10012229782

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of Econometrics 184 (2015) 2, pp. 242-261

-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no …-price densities under the full set of no-arbitrage constraints. We estimate a call-option price surface, families of first …

Persistent link: https://www.econbiz.de/10011117414

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261

Persistent link: https://www.econbiz.de/10011339347

A simple and general approach to fitting the discount curve under no-arbitrage constraints

Fengler, Matthias; Hin, Lin-Yee - In: Finance research letters 15 (2015), pp. 78-84

Persistent link: https://www.econbiz.de/10011552971

A simple and general approach to fitting the discount curve under no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - School of Economics and Political Science, Universität … - 2014

We suggest a simple and general approach to fitting the discount curve under no-arbitrage constraints based on a …

Persistent link: https://www.econbiz.de/10010886748

A simple and general approach to fitting the discount curve under no-arbitrage constraints

Fengler, Matthias; Hin, Lin-yee - 2014

Persistent link: https://www.econbiz.de/10010439175

No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options

Kim, Namhyoung; Lee, Jaewook - In: Journal of Empirical Finance 21 (2013) C, pp. 36-53

method to implement no-arbitrage constraints in estimating the implied and local volatility surfaces extracted from data on …

Persistent link: https://www.econbiz.de/10010636024

No-arbitrage implied volatility functions : empirical evidence from KOSPI 200 index options

Kim, Namhyoung; Lee, Jaewook - In: Journal of empirical finance 21 (2013), pp. 36-53

Persistent link: https://www.econbiz.de/10009745311