The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth

被引：0
|
作者：
Vitali, Sebastiano [1 ]
Tichy, Tomas [1 ]
Kopa, Milos [1 ]
机构：
[1] ASCR, Inst Informat Theory & Automat, Dept Econometr, Vodarenskou Vezi 4, Prague 18208, Czech Republic
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV | 2015年
关键词：
Option pricing; implied volatility; arbitrage opportunity; calendar bandwidth; bandwidth size;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Options are often priced by Black and Scholes model by using artificial (and unobserved) volatility implied by option market prices. Since many options do not have their traded counterparts with the same maturity and moneyness, it is often needed to interpolate the volatility values. The general procedure of implied volatility extraction from market prices and subsequent smoothing can, however, lead to inconsistent values or even arbitrage opportunities. In this paper, a potential arbitrage area is studied in connection with the calendar bandwidth construction.
引用
收藏
页码：1405 / 1409
页数：5
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