Search results
- 1.0507127 - 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 - 2.0452192 - ÚTIA 2016 RIV CZ eng K - Conference Paper (Czech conference)
Tichý, T. - Kopa, Miloš - Vitali, S.
The Bandwidth Selection in Connection to Option Implied Volatility Extraction.
Proceedings of the 12th International Conference Liberec Economic Forum 2015. Liberec: Technical University of Liberec, 2015 - (Kocourek, A.), s. 201-208. ISBN 978-80-7494-225-9.
[12th International Conference Liberec Economic Forum 2015. Liberec (CZ), 16.09.2015-17.09.2015]
R&D Projects: GA ČR GA13-25911S
Institutional support: RVO:67985556
Keywords : implied volatility * state price density * arbitrage opportunity
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/kopa-0452192.pdf
Permanent Link: http://hdl.handle.net/11104/0253697