Analysis of market volatility via a dynamically purified option price process
Chuong Luong and Nikolai Dokuchaev
| Year of publication: |
2014
|
|---|---|
| Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 3, p. 1-19
|
| Subject: | Econometrics | implied volatility | volatility index | approximation of missing data | dynamic forecasting | purified option prices | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Index-Futures | Index futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391659