Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
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 | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Katastrophe | Disaster | Stochastischer Prozess | Stochastic process |
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