On the implied volatility extraction and the selection of suitable kernel

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/61989100:27510/15:86094767

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

On the implied volatility extraction and the selection of suitable kernel

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

On the implied volatility extraction and the selection of suitable kernel

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 2015 International Conference on Computer Science and Intelligent Communication 2015 (CSIC 2015)

ISBN

9789462520844

ISSN

2352-538X

e-ISSN

—

Počet stran výsledku

4

Strana od-do

456-459

Název nakladatele

Atlantis press

Místo vydání

Beijing

Místo konání akce

Zhengzhou

Datum konání akce

18. 7. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000364990300111