Carr and Wu's (2020) framework in the oil ETF option market
Xiaolan Jia, Xinfeng Ruan, Jin E. Zhang
| Year of publication: |
2023
|
|---|---|
| Authors: | Jia, Xiaolan ; Ruan, Xinfeng ; Zhang, Jin E. |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 31.2023, p. 1-21
|
| Subject: | Crude oil | Implied volatility smile | Option pricing | Return predictability | Risk-neutral covariance | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Indexderivat | Index derivative | Erdöl | Petroleum | Ölmarkt | Oil market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2023.100334 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014477744