Liquidity-free implied volatilities : an approach using conic finance
Year of publication: |
2021
|
---|---|
Authors: | Michielon, Matteo ; Khedher, Asma ; Spreij, Peter |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 8.2021, 4, p. 1-27
|
Subject: | Bid-ask spread | conic finance | distorted expectation | implied volatility | liquidity | Volatilität | Volatility | Geld-Brief-Spanne | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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