Arbitrage-free conditions for implied volatility surface by Delta
Ximei Wang, Yanlong Zhao, Ying Bao
| Year of publication: |
2019
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|---|---|
| Authors: | Wang, Ximei ; Zhao, Yanlong ; Bao, Ying |
| 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. 48.2019, p. 819-834
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| Subject: | Arbitrage-free condition | Deltas | Foreign exchange market | Implied volatility surface | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Devisenmarkt | Black-Scholes-Modell | Black-Scholes model | Wechselkurs | Exchange rate | 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.2018.08.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012120342