Collective behavior and options volatility smile : an agent-based explanation
Yi-Fang Liu; Wei Zhang; Hai-Chuan Xu
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Yi-fang ; Zhang, Wei ; Xu, Hai-chuan |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 39.2014, p. 232-239
|
| Subject: | Collective behavior | Implied volatility smile | Agent-based modeling | Option pricing | Artificial financial market | Volatilität | Volatility | Agentenbasierte Modellierung | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market | Optionsgeschäft | Option trading | Anlageverhalten | Behavioural finance |
| 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/10010421855