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0452190 - ÚTIA 2016 RIV CN eng C - Conference Paper (international conference)
Kopa, Miloš - Vitali, Sebastiano - Tichý, Tomáš
On the implied volatility extraction and the selection of suitable kernel.
Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015). Beijing: Atlantis press, 2015 - (Ding, J.), s. 456-459. ISBN 9789462520844. ISSN 2352-538X.
[2015 International Conference on Computer Science and Intelligent Communication. Zhengzhou (CN), 18.07.2015-19.07.2015]
R&D Projects: GA ČR GA13-25911S
Institutional support: RVO:67985556
Keywords : arbitrage opportunity * implied volatility * option pricing * time grid * state price density
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/kopa-0452190.pdf
Permanent Link: http://hdl.handle.net/11104/0253695