| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0452190 |
| utime |
20240103211408.3 |
| mtime |
20151216235959.9 |
| WOS |
000364990300111 |
| DOI |
10.2991/csic-15.2015.111 |
| title
(primary) (eng) |
On the implied volatility extraction and the selection of suitable kernel |
| specification |
| page_count |
4 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0452189 |
| ISBN |
9789462520844 |
| ISSN |
2352-538X |
| title
|
Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015) |
| page_num |
456-459 |
| publisher |
| place |
Beijing |
| name |
Atlantis press |
| year |
2015 |
|
| editor |
|
|
| keyword |
arbitrage opportunity |
| keyword |
implied volatility |
| keyword |
option pricing |
| keyword |
time grid |
| keyword |
state price density |
| author
(primary) |
| ARLID |
cav_un_auth*0254103 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| name1 |
Kopa |
| name2 |
Miloš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0323880 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| name1 |
Vitali |
| name2 |
Sebastiano |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312254 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| name1 |
Tichý |
| name2 |
Tomáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292622 |
| project_id |
GA13-25911S |
| agency |
GA ČR |
|
| abstract
(eng) |
At the market, we can identify various kinds of options. Some of them are traded at organized exchanges and are quite liquid. Others are traded only between particular parties. The current market practice is to obtain implied volatility of liquid options as based on Black-Scholes type (BS hereafter) models. Such volatility is subsequently used to price illiquid or even exotic options. It therefore follows that the BS model at one time moment can be related to the whole set of IVs as given by maturity/moneyness relation of tradable options. One can therefore get IV curve or surface (a so called smirk or smile). Since the moneyness and maturity of IV often do not match the data of valuated options, some sort of estimating and local smoothing is necessary. However, it can lead to arbitrage opportunity, if no-arbitrage conditions on state price density (SPD) are ignored. |
| action |
| ARLID |
cav_un_auth*0323881 |
| name |
2015 International Conference on Computer Science and Intelligent Communication |
| dates |
18.07.2015-19.07.2015 |
| place |
Zhengzhou |
| country |
CN |
|
| RIV |
BB |
| reportyear |
2016 |
| num_of_auth |
3 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253695 |
| cooperation |
| ARLID |
cav_un_auth*0295072 |
| name |
Vysoká škola báňská – Technická univerzita Ostrava |
| institution |
VŠB–TUO |
| country |
CZ |
| mrcbC63-f |
Ostrava |
|
| confidential |
S |
| mrcbC83 |
RIV/67985556:_____/15:00452190!RIV16-AV0-67985556 191684735 nejednotny pocet stran UTIA-B |
| mrcbC83 |
RIV/67985556:_____/15:00452190!RIV16-GA0-67985556 191719797 nejednotny pocet stran UTIA-B |
| arlyear |
2015 |
| mrcbU34 |
000364990300111 WOS |
| mrcbU63 |
cav_un_epca*0452189 Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015) 9789462520844 2352-538X 456 459 Beijing Atlantis press 2015 |
| mrcbU67 |
Ding Juan 340 |
|