Calibrating arbitrage free implied volatility surface with embedded put-call parity
Tridibesh Dutta; Alankar Ghosh
| Year of publication: |
2010
|
|---|---|
| Authors: | Dutta, Tridibesh ; Ghosh, Alankar |
| Published in: |
Decision. - Calcutta : Inst., ISSN 0304-0941, ZDB-ID 196771-X. - Vol. 37.2010, 1, p. 57-72
|
| Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Arbitrage | Index-Futures | Index futures | Arbitrage Pricing | Arbitrage pricing | Derivat | Derivative |
| 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/10008657235