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• W3199441159 abstract "We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not require restrictive assumptions. Our methodology also allows to jointly calculate the implied liquidity of the market. The idea outlined in this paper can be applied to calculate other implied parameters from bid and ask security prices as soon as their theoretical risk-neutral counterparts are strictly increasing with respect to the former." @default.
• W3199441159 created "2021-09-27" @default.
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• W3199441159 date "2021-09-13" @default.
• W3199441159 modified "2023-09-27" @default.
• W3199441159 title "Liquidity-free implied volatilities: An approach using conic finance" @default.
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• W3199441159 doi "https://doi.org/10.1142/s2424786321500419" @default.
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