Cross economic determinants of implied volatility smile dynamics : three major European currency options
Qian Han, Jufang Liang and Boqiang Wu
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Han, Qian ; Liang, Jufang ; Wu, Boqiang |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 22.2016, 5, p. 817-852
|
| Subject: | implied volatility smile | economic determinants | currency options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Devisenoption | Currency option | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12072 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713158