| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0452192 |
| utime |
20240103211408.4 |
| mtime |
20151216235959.9 |
| WOS |
000365053000020 |
| title
(primary) (eng) |
The Bandwidth Selection in Connection to Option Implied Volatility Extraction |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0452191 |
| ISBN |
978-80-7494-225-9 |
| title
|
Proceedings of the 12th International Conference Liberec Economic Forum 2015 |
| page_num |
201-208 |
| publisher |
| place |
Liberec |
| name |
Technical University of Liberec |
| year |
2015 |
|
| editor |
| name1 |
Kocourek |
| name2 |
Aleš |
|
|
| keyword |
implied volatility |
| keyword |
state price density |
| keyword |
arbitrage opportunity |
| author
(primary) |
| ARLID |
cav_un_auth*0208066 |
| name1 |
Tichý |
| name2 |
T. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| name1 |
Kopa |
| name2 |
Miloš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0312255 |
| name1 |
Vitali |
| name2 |
S. |
| country |
IT |
|
| source |
|
| cas_special |
| project |
| project_id |
GA13-25911S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0292622 |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0323884 |
| name |
12th International Conference Liberec Economic Forum 2015 |
| place |
Liberec |
| dates |
16.09.2015-17.09.2015 |
| country |
CZ |
|
| reportyear |
2016 |
| RIV |
BB |
| num_of_auth |
3 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253697 |
| cooperation |
| ARLID |
cav_un_auth*0295072 |
| institution |
VŠB–TUO |
| name |
Vysoká škola báňská – Technická univerzita Ostrava |
| country |
CZ |
| mrcbC63-f |
Ostrava |
|
| cooperation |
| ARLID |
cav_un_auth*0311672 |
| institution |
UB |
| name |
University of Bergamo |
| country |
IT |
|
| confidential |
S |
| arlyear |
2015 |
| mrcbU34 |
000365053000020 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
Kocourek Aleš 340 |
|