0507127 20240103222344.020190731235959.9 000376799500173 5 s. P cav_un_epca*0457023978-80-248-3865-6Part I.1405-1409OstravaVŠB-Technická univerzita Ostrava2015 Option pricing implied volatility arbitrage opportunity calendar bandwidth bandwidth size cav_un_auth*0323880 Ekonometrie Department of Econometrics E E 40 Vitali Sebastiano UTIA-B IT Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312254 Ekonometrie Department of Econometrics E E 30 Tichý Tomáš UTIA-B CZ S Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0254103 Ekonometrie Department of Econometrics E E Department of Econometrics 30 Kopa Miloš UTIA-B CZ S Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/vitali-0507127.pdf cav_un_auth*0292622 GA13-25911S GA ČR Options are often priced by Black and Scholes model by using artificial (and unobserved) volatility implied by option market prices. Since many options do not have their traded counterparts with the same maturity and moneyness, it is often needed to interpolate the volatility values. The general procedure of implied volatility extraction from market prices and subsequent smoothing can, however, lead to inconsistent values or even arbitrage opportunities. In this paper, a potential arbitrage area is studied in connection with the calendar bandwidth construction. cav_un_auth*0328627 International Scientific Conference Financial management of firms and financial institutions Ostrava 2015 /10./ 07.09.2015-08.09.2015 Ostrava CZ BB 10000 10100 10103 2020 3 PR RVO:67985556 http://hdl.handle.net/11104/0298534 S 2015 SCOPUS PUBMED 000376799500173 WOS cav_un_epca*0457023 Proceedings of 10th International Scientific Conference Financial management of firms and financial institutions Ostrava Part I. 978-80-248-3865-6 1405 1409 Ostrava VŠB-Technická univerzita Ostrava 2015