Implied volantility and state price density estimation : arbitrage analysis
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
|
Subject: | Option pricing | Implied volatility | State price density | No-arbitrage conditions | Local polynomial smoothing | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Arbitrage |
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