Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Alejandro Bernales; Massimo Guidolin
| Year of publication: |
2014
|
|---|---|
| Authors: | Bernales, Alejandro ; Guidolin, Massimo |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 46.2014, p. 326-342
|
| Subject: | Equity options | Index options | Implied volatility surface | Predictability | Trading strategies | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Aktienoption | Stock option | 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/10010468417