A closed-form model-free implied volatility formula through delta families
Zhenyu Cui, Justin Kirkby, Duy Nguyen, and Stephen Taylor
| Year of publication: |
2021
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|---|---|
| Authors: | Cui, Zhenyu ; Kirkby, Justin ; Nguyen, Duy ; Taylor, Stephen |
| Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 28.2021, 4, p. 111-127
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| Subject: | Derivatives | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jod.2020.1.127 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012612926