| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0507127 |
| utime |
20240103222344.0 |
| mtime |
20190731235959.9 |
| WOS |
000376799500173 |
| title
(primary) (eng) |
The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0457023 |
| ISBN |
978-80-248-3865-6 |
| title
|
Proceedings of 10th International Scientific Conference Financial management of firms and financial institutions Ostrava |
| part_title |
Part I. |
| page_num |
1405-1409 |
| publisher |
| place |
Ostrava |
| name |
VŠB-Technická univerzita Ostrava |
| year |
2015 |
|
|
| keyword |
Option pricing |
| keyword |
implied volatility |
| keyword |
arbitrage opportunity |
| keyword |
calendar bandwidth |
| keyword |
bandwidth size |
| author
(primary) |
| ARLID |
cav_un_auth*0323880 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| share |
40 |
| name1 |
Vitali |
| name2 |
Sebastiano |
| institution |
UTIA-B |
| country |
IT |
| 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 |
| share |
30 |
| name1 |
Tichý |
| name2 |
Tomáš |
| institution |
UTIA-B |
| country |
CZ |
| garant |
S |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
30 |
| name1 |
Kopa |
| name2 |
Miloš |
| institution |
UTIA-B |
| country |
CZ |
| garant |
S |
| 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) |
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. |
| action |
| ARLID |
cav_un_auth*0328627 |
| name |
International Scientific Conference Financial management of firms and financial institutions Ostrava 2015 /10./ |
| dates |
07.09.2015-08.09.2015 |
| place |
Ostrava |
| country |
CZ |
|
| RIV |
BB |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2020 |
| num_of_auth |
3 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0298534 |
| confidential |
S |
| arlyear |
2015 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000376799500173 WOS |
| mrcbU63 |
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 |
|