All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

State price density estimation for options with dividend yields

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10384627" target="_blank" >RIV/00216208:11320/18:10384627 - isvavai.cz</a>

  • Alternative codes found

    RIV/61989100:27510/17:10236825

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    State price density estimation for options with dividend yields

  • Original language description

    Option pricing is a challenging issue that requires the fulfilment of many assumptions. The market practice for the pricing of illiquid options is often based on the usage of implied volatilities of liquid options for the construction of a so-called volatility surface. Since the surface is obtained by interpolation and a smoothing procedure, it might break the no-arbitrage condition of positive state price densities or price relations. In this paper, we extend our previous works and focus on the pricing of selected options on dividend-paying stocks traded on the German market. In particular, we construct the implied volatility surface for a large selection of combinations of time to maturity and moneyness, calculate state price densities and analyse the behaviour in different time grids.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>ost</sub> - Miscellaneous article in a specialist periodical

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Ekonomická revue (Central European Review of Ecomic Issues.)

  • ISSN

    1212-3951

  • e-ISSN

  • Volume of the periodical

    20

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    10

  • Pages from-to

    81-90

  • UT code for WoS article

  • EID of the result in the Scopus database