Implied volatility and the risk-free rate of return in options markets
Marcelo Bianconi, Scott MacLachlan, Marco Sammon
| Year of publication: |
January 2015
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| Authors: | Bianconi, Marcelo ; McLachlan, Scott ; Sammon, Marco |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 1-26
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2014.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011511024