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- W2000009725 abstract "ABSTRACTThe process of producing an implied volatility surface in the absence of reliable and frequent trade data is difficult. Bakshi, Kapadia and Madan (2003) detail a methodology for relating an index option smile structure with that of one of its constituents. Here we exploit this work to derive the single-stock option smile as a function of the index smile and a regressed relationship between the two underlying assets. Our non-parametric approach allows the market to estimate where implied volatilities should trade for illiquid derivative contracts away from at-the-money. The derived smile does not admit spread arbitrage." @default.
- W2000009725 created "2016-06-24" @default.
- W2000009725 creator A5062177483 @default.
- W2000009725 date "2014-01-01" @default.
- W2000009725 modified "2023-09-24" @default.
- W2000009725 title "Modelling South African single-stock futures option volatility smiles" @default.
- W2000009725 cites W1486923557 @default.
- W2000009725 doi "https://doi.org/10.1080/10293523.2014.11082569" @default.
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