Institute of Information Theory and Automation

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Dept.: E Duration: 2013 - 2015
The project deals with modelling of options implied volatility where the implied volatility is considered as a function of strike price and time to maturity. We focus on arbitrage-free techniques where the strike arbitrage-free condition is expressed in terms of state-price-density while the calendar arbitrage-free condition is based on the monotony of total (implied) variance. Various...