Implied variance estimates for Black-Scholes and CEV OPM : review and comparison
Cheng Few Lee, Yibing Chen, and John Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Lee, Cheng F. ; Chen, Yibing ; Lee, John |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4. - New Jersey : World Scientific, ISBN 978-981-12-6325-5. - 2024, p. 3411-3444
|
| Subject: | Implied variance | Black-Scholes model | MATLAB approach | Approximation approach | CEV model | Black-Scholes-Modell | Volatilität | Volatility | Schätztheorie | Estimation theory | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0104 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050145