Volatility and arbitrage
نویسندگان
چکیده
منابع مشابه
Arbitrage-free SVI volatility surfaces
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX optio...
متن کاملTrading intensity, volatility, and arbitrage activity
The objective of this paper is to uncover the determinants of trading intensity in futures markets. In particular, the time between adjacent transactions (referred to as transaction duration) on the FTSE 100 index futures market is modeled using various augmentations of the basic autoregressive conditional duration (ACD) model introduced by Engle and Russell [Econometrica 66 (1998) 1127]. The d...
متن کاملGeneralized Arbitrage-Free SVI Volatility Surfaces
In this article we propose a generalisation of the recent work of Gatheral-Jacquier [11] on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee’s moment formula using the recent analysis by Roper [18]. We further exhibit an arbitrage-free volatility surface different from Gatheral’s SVI parameterisa...
متن کاملRelative Arbitrage in Volatility-stabilized Markets
We provide simple, easy-to-test criteria for the existence of relative arbitrage in equity markets. These criteria postulate essentially that the excess growth rate of the market portfolio, a positive quantity that can be estimated or even computed from a given market structure, be “sufficiently large”. We show that conditions which satisfy these criteria are manifestly present in the U.S. equi...
متن کاملNo-Arbitrage Condition of Option Implied Volatility and Bandwidth Selection
A standard approach to option pricing is based on Black-Scholes type (BS hereafter) models utilizing the no-arbitrage argument of complete markets. However, there are several crucial assumptions, such as that the option underlying log-returns follow normal distribution, there is unique and deterministic riskless rate as well as the volatility of underlying log-returns. Since the assumptions are...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2018
ISSN: 1050-5164
DOI: 10.1214/17-aap1308