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On extracting information implied in options


  • M. Benko


  • M. Fengler
  • W. Härdle
  • M. Kopa


No abstract is available for this item.

Suggested Citation

  • M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007. "On extracting information implied in options," Computational Statistics, Springer, vol. 22(4), pages 543-553, December.
  • Handle: RePEc:spr:compst:v:22:y:2007:i:4:p:543-553
    DOI: 10.1007/s00180-007-0061-0

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    References listed on IDEAS

    1. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 45-60.
    3. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)


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    Cited by:

    1. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    2. Matthias Fengler, 2010. "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010 2010-32, Department of Economics, University of St. Gallen.
    3. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834,
    4. repec:spr:comgts:v:14:y:2017:i:4:d:10.1007_s10287-017-0283-8 is not listed on IDEAS
    5. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
    6. Kim, Namhyoung & Lee, Jaewook, 2013. "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 36-53.


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