Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Sudarshan Kumar, Sobhesh Kumar Agarwalla, Jayanth R. Varma, Vineet Virmani
| Year of publication: |
2023
|
|---|---|
| Authors: | Kumar, Sudarshan ; Agarwalla, Sobhesh Kumar ; Varma, Jayanth Rama ; Virmani, Vineet |
| Subject: | dynamic Nelson-Siegel | equity derivatives | Kalman filter | options market | state-space models | volatility smile | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zustandsraummodell | State space model | Schwellenländer | Emerging economies | Derivat | Derivative | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22450 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014432920