Implied volatility and the risk-free rate of return in options markets
Marcelo Bianconi; Scott MacLachlan; Marco Sammon
| Year of publication: |
2014
|
|---|---|
| Authors: | Bianconi, Marcelo ; McLachlan, Scott ; Sammon, Marco |
| Publisher: |
Medford, Mass. : Dep. of Economics, Tufts Univ. |
| Subject: | re-pricing options | forecasting volatility | seemingly unrelated regression | implied volatility | Volatilität | Volatility | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis | CAPM | Index-Futures | Index futures | Kapitaleinkommen | Capital income |
| Extent: | Online-Ressource (40 S.) graph. Darst. |
|---|---|
| Series: | Economics Department working paper. - Medford, Mass., ZDB-ID 2716428-7. - Vol. 2014,1 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010362853