Implied volatility surface construction for commodity futures options traded in China
Wei Xu, Aleksandar Šević, Željko Šević
| Year of publication: |
2022
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|---|---|
| Authors: | Xu, Wei ; Šević, Aleksandar ; Šević, Željko |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 61.2022, p. 1-21
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| Subject: | American option | Commodity futures option | Implied volatility | Mean-reverting | SVI model | Willow tree method | Volatilität | Volatility | Optionsgeschäft | Option trading | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | China | Derivat | Derivative | Index-Futures | Index futures | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2022.101676 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014246888