Search Results - subject:"no-arbitrage constraints"

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

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

Fengler, Matthias; Hin, Lin-Yee - School of Economics and Political Science, Universität … - 2011

enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the …

Persistent link: https://www.econbiz.de/10009322530

Arbitrage-free smoothing of the implied volatility surface

Fengler, Matthias - In: Quantitative Finance 9 (2009) 4, pp. 417-428

The pricing accuracy and pricing performance of local volatility models depends on the absence of arbitrage in the implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition probabilities and consequently mispricings and false...

Persistent link: https://www.econbiz.de/10004966870