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0507127 - ÚTIA 2020 RIV CZ eng K - Conference Paper (Czech conference)
Vitali, Sebastiano - Tichý, Tomáš - Kopa, Miloš
The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth.
Proceedings of 10th International Scientific Conference Financial management of firms and financial institutions Ostrava. Ostrava: VŠB-Technická univerzita Ostrava, 2015, s. 1405-1409. ISBN 978-80-248-3865-6.
[International Scientific Conference Financial management of firms and financial institutions Ostrava 2015 /10./. Ostrava (CZ), 07.09.2015-08.09.2015]
R&D Projects: GA ČR GA13-25911S
Institutional support: RVO:67985556
Keywords : Option pricing * implied volatility * arbitrage opportunity * calendar bandwidth * bandwidth size
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2019/E/vitali-0507127.pdf
Permanent Link: http://hdl.handle.net/11104/0298534