Arbitrage-free implied volatility surfaces for options on single stock futures
Antonie Kotzé; Coenraad C. A. Labuschagne; Merell L. Nair; Nadine Padayachi
| Year of publication: |
2013
|
|---|---|
| Authors: | Kotzé, Antonie ; Labuschagne, Coenraad C. A. ; Nair, Merell L. ; Padayachi, Nadine |
| 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. 26.2013, p. 380-399
|
| Subject: | Volatility surface | Options on single stock futures | Quadratic deterministic function | Volatilität | Volatility | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Aktienoption | Stock option | Futures | Black-Scholes-Modell | Black-Scholes model |
| 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/10010367577