Arbitrage-free conditions for implied volatility surface by Delta
文献类型：期刊论文
| 作者 | Wang, Ximei1,3; Zhao, Yanlong1,3 ; Bao, Ying2
|
| 刊名 | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
 |
| 出版日期 | 2019-04-01 |
| 卷号 | 48页码:819-834 |
| 关键词 | Implied volatility surface Foreign exchange market Arbitrage-free condition Deltas |
| ISSN号 | 1062-9408 |
| DOI | 10.1016/j.najef.2018.08.011 |
| 英文摘要 | Implied volatility surface provided by Deltas and maturities (IVS-DM) is widely used in financial fields, especially in foreign exchange options market, since it can effectively describe the characteristics of the volatilities. The main purpose of this paper is to develop arbitrage-free conditions for the IVS-DM. We propose sufficient conditions for the IVS-DM to be static arbitrage-free, which are proved to be necessary under a mild assumption. To test the arbitrage opportunities in the market data, we build a practical tool, which is more accurate than existing ones such as early warning indicator tests. For illustration, arbitrage tests are conducted on a simulated IVS-DM to show the effectiveness of the conditions. The results are consistent with the tests for the implied volatility surface provided by strikes and maturities. Furthermore, empirical examinations are implemented on EURUSD and USDJPY currency options to ensure the feasibility of the proposed conditions. |
| 资助项目 | National Key Research and Development Program of China[2016YFB0901902] ; National Natural Science Foundation of China[61622309] ; National Key Basic Research Program of China (973 Program)[2014CB845301] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000465646200052 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34614]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhao, Yanlong |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, LSC, Beijing 100190, Peoples R China 2.Ind & Commercial Bank China, Risk Management Dept, Beijing 100033, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Ximei,Zhao, Yanlong,Bao, Ying. Arbitrage-free conditions for implied volatility surface by Delta[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2019,48:819-834. |
| APA | Wang, Ximei,Zhao, Yanlong,&Bao, Ying.(2019).Arbitrage-free conditions for implied volatility surface by Delta.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,48,819-834. |
| MLA | Wang, Ximei,et al."Arbitrage-free conditions for implied volatility surface by Delta".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 48(2019):819-834. |
入库方式： OAI收割
来源：数学与系统科学研究院
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