2 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2021★ 2 cited
Liquidity-free implied volatilities: an approach using conic finance
Matteo Michielon, Asma Khedher, Peter Spreij
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 ap…
q-fin.MF2021★ 2 cited
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Matteo Michielon, Asma Khedher, Peter Spreij
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, as their risk-neutral counterparts a…