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Implied volatility modelling of options
 Jahn, Daniel ; Kopa, Miloš (advisor) ; Hendrych, Radek (referee)
This text presents an analysis of constrained local polynomial estimation used to extract the implied volatility smile from options data. The optimization constraint derived from the state price density ensures the no arbitrage condition. The analysis contains an evaluation of the role of different parameters, such as the degree of the polynomial, kernel type and bandwidth, on the resulting IV smile. Two main approaches are suggested, one attempting to reflect the problematic case of the out-of-the- money options, the other focusing on producing a smooth state price density and a well-fitting IV smile. Powered by TCPDF (www.tcpdf.org)
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