Journal article
Detecting and repairing arbitrage in traded option prices
- Abstract:
-
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 necessary. Most attention in the relevant literature has been devoted to arbitrage-free smoothing and filtering (i.e. removing) of data. In contrast to smoothing, which typically changes nearly all dat...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Taylor and Francis Publisher's website
- Journal:
- Applied Mathematical Finance Journal website
- Volume:
- 27
- Issue:
- 5
- Pages:
- 345-373
- Publication date:
- 2021-02-08
- Acceptance date:
- 2020-10-27
- DOI:
- EISSN:
-
1466-4313
- ISSN:
-
1350-486X
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1140103
- Local pid:
- pubs:1140103
- Deposit date:
- 2020-10-29
Terms of use
- Copyright holder:
- Informa UK
- Copyright date:
- 2020
- Rights statement:
- © 2020 Informa UK Limited, trading as Taylor & Francis Group
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Taylor and Francis at: https://doi.org/10.1080/1350486X.2020.1846573
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