On the implied volatility extraction and the selection of suitable kernel
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00452190" target="_blank" >RIV/67985556:_____/15:00452190 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/15:86094767
Result on the web
<a href="http://dx.doi.org/10.2991/csic-15.2015.111" target="_blank" >http://dx.doi.org/10.2991/csic-15.2015.111</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.2991/csic-15.2015.111" target="_blank" >10.2991/csic-15.2015.111</a>
Alternative languages
Result language
angličtina
Original language name
On the implied volatility extraction and the selection of suitable kernel
Original language description
At the market, we can identify various kinds of options. Some of them are traded at organized exchanges and are quite liquid. Others are traded only between particular parties. The current market practice is to obtain implied volatility of liquid options as based on Black-Scholes type (BS hereafter) models. Such volatility is subsequently used to price illiquid or even exotic options. It therefore follows that the BS model at one time moment can be related to the whole set of IVs as given by maturity/moneyness relation of tradable options. One can therefore get IV curve or surface (a so called smirk or smile). Since the moneyness and maturity of IV often do not match the data of valuated options, some sort of estimating and local smoothing is necessary. However, it can lead to arbitrage opportunity, if no-arbitrage conditions on state price density (SPD) are ignored.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015)
ISBN
9789462520844
ISSN
2352-538X
e-ISSN
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Number of pages
4
Pages from-to
456-459
Publisher name
Atlantis press
Place of publication
Beijing
Event location
Zhengzhou
Event date
Jul 18, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000364990300111