An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets
Fearghal Kearney, Finbarr Murphy, Mark Cummins
| Year of publication: |
July 2015
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| Authors: | Kearney, Fearghal ; Murphy, Finbarr ; Cummins, Mark |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 33.2015, p. 199-216
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| Subject: | Commodity options | Implied volatility | Jump diffusion models | Functional data analysis | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Welt | World | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2015.04.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011535207