منابع مشابه
From arbitrage to arbitrage-free implied volatilities
We propose a method for determining an arbitrage-free density implied by the Hagan formula. (We use the wording “Hagan formula” as an abbreviation of the Hagan– Kumar–Leśniewski–Woodward model.) Our method is based on the stochastic collocation method. The principle is to determine a few collocation points on the implied survival distribution function and project them onto the polynomial of an ...
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No-arbitrage is the fundamental principle of economic rationality which unifies normative decision theory, game theory, and market theory. In economic environments where money is available as a medium of measurement and exchange, no-arbitrage is synonymous with subjective expected utility maximization in personal decisions, competitive equilibria in capital markets and exchange economies, and c...
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ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2016
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhw103