Event submissions
Published
This submission belongs to the session S4. Financial Innovations and Technology of the event The 1st International Online Conference on Risk and Financial Management
Published date
13 Jun, 2025
Academic Editor
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Xianrong (Shawn) ZhengCitation
Fabrizio Di Sciorio, Daniele Angelini, Integrating the implied regularity into implied volatility models: A study on free arbitrage model, in Proceedings of The 1st International Online Conference on Risk and Financial Management, 17 June–18 June 2025, MDPI: Basel, Switzerland
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Integrating the implied regularity into implied volatility models: A study on free arbitrage model
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Fabrizio Di Sciorio 1
Daniele Angelini 2
1. Department of Economics and Business, University of Almeria, Almeria, 04120, Spain
2. MEMOTEF Department, Faculty of Economy, Sapienza, University of Rome, Rome, 00161, Via del Castro Laurenziano, 9, Rome, Italy
Abstract
Keywords
implied volatility
arbitrage-free volatility theorem
volatility smile
implied market efficiency
inefficient financial markets
Poster
Integrating_the_Implied_Regularity_into_Implied_Volatility_Models_PosterPresentation.pdf