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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2021
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