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 - 2.0452190 - 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 - 3.0429805 - ÚTIA 2015 RIV IN eng J - Journal Article
Kopa, Miloš - Tichý, T.
No-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection.
The Anthropologist: international journal of contemporary and applied studies of man. Roč. 17, č. 3 (2014), s. 751-755. ISSN 0972-0073
R&D Projects: GA ČR(CZ) GA13-25911S
Institutional support: RVO:67985556
Keywords : Option Pricing * Implied Volatility * DAX Index * Local polynomial smoothing
Subject RIV: AH - Economics
Impact factor: 0.222, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kopa-0429805.pdf
Permanent Link: http://hdl.handle.net/11104/0236062 - 4.0410880 - UTIA-B 20020094 RIV DE eng J - Journal Article
Kočvara, Michal
A fast iterative algorithm for American option pricing.
Solutions. Roč. 6, č. 1 (2002), s. 57-66
R&D Projects: GA AV ČR IAA1075005
Institutional research plan: CEZ:AV0Z1075907
Keywords : iterative algorithm * American option pricing * linear complementary problems
Subject RIV: BA - General Mathematics
Permanent Link: http://hdl.handle.net/11104/0130967 - 5.0410539 - UTIA-B 20010008 RIV GB eng J - Journal Article
Siddiqi, A. H. - Manchanda, P. - Kočvara, Michal
An iterative two-step algorithm for American option pricing.
IMA Journal of Mathematics Applied in Business and Industry. Roč. 11, č. 2 (2000), s. 71-84. ISSN 0953-0061
R&D Projects: GA AV ČR IAA1075707
Institutional research plan: AV0Z1075907
Keywords : American option pricing * linear complementarity * iterative methods
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0130628 - 6.0349558 - ÚTIA 2011 RIV DE eng B - Monography
Veverka, Petr
Pricing of Real Options Based on Exponential Mean Reverting Processes: Finite differences method for pricing of Real Options based on exponential mean reverting processes of underlying asset.
Saarbrücken: LAP LAMBERT Academic Publishing, 2010. 80 s. ISBN 978-3-8433-6571-0
Institutional research plan: CEZ:AV0Z10750506
Keywords : Real options, , * Option pricing * Financial mathematics
Subject RIV: BA - General Mathematics
Permanent Link: http://hdl.handle.net/11104/0189761