Detecting and repairing arbitrage in traded option prices
Option price data are used as inputs for model calibration, risk-neutral density estimation and many other financial applications. The presence of arbitrage in option price data can lead to poor performance or even failure of these tasks, making pre-processing of the data to eliminate arbitrage nece...
| मुख्य लेखकों: | , , |
|---|---|
| स्वरूप: | Journal article |
| भाषा: | English |
| प्रकाशित: |
Taylor and Francis
2021
|