0452192 20240103211408.420151216235959.9 000365053000020 8 s. P cav_un_epca*0452191978-80-7494-225-9201-208LiberecTechnical University of Liberec2015KocourekAleš implied volatility state price density arbitrage opportunity cav_un_auth*0208066 Tichý T. CZ cav_un_auth*0254103 Kopa Miloš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312255 Vitali S. IT http://library.utia.cas.cz/separaty/2015/E/kopa-0452192.pdf GA13-25911S GA ČR cav_un_auth*0292622 Among various kinds of options we can found at the market, some are traded at organized exchanges and therefore are quite liquid, while others are traded only between particular parties. Whereas there is no need to look for a model to price liquid exchange traded options, since their price is generally accepted by the demand and supply, for illiquid or even exotic options new efficient models are still developed. The current market practice is to obtain the implied volatility of liquid options as based on Black-Scholes type (BS hereafter) models. The focus of this paper is to study the behavior of IV and SPD for several kernel functions and with respect to different choices of bandwidth parameter h. Specifically, we show several interesting implications of the change of h on the violation of no arbitrage condition and the total area of SPD under zero. cav_un_auth*0323884 12th International Conference Liberec Economic Forum 2015 Liberec 16.09.2015-17.09.2015 CZ 2016 BB 3 PR RVO:67985556 http://hdl.handle.net/11104/0253697 cav_un_auth*0295072 VŠB–TUO Vysoká škola báňská – Technická univerzita Ostrava CZ Ostrava cav_un_auth*0311672 UB University of Bergamo IT S 2015 000365053000020 WOS cav_un_epca*0452191 Proceedings of the 12th International Conference Liberec Economic Forum 2015 978-80-7494-225-9 201 208 Liberec Technical University of Liberec 2015 Kocourek Aleš 340