Supplement to: Option-Implied Term Structures
نویسنده
چکیده
1. Choose μ(Z) and σ(Z). To center expanions around Black-Scholes, use (3.17). 2. Construct P (β,Z) from Proposition 1. 3. Choose Kn = (Ky(n) + 1)(Kτ (n) + 1) to grow slowly as n→∞. See Remark 5.1 in Section 5. 4. Optimize the objective function over sieve coefficients in (3.10), using all options from a given cross-section of options. 5. Form V̂n using (B.8) and use critical values from standard normal tables.
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