Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting
Youngsoo Choi, Steven J. Jordan and Wonchang Lee
| Year of publication: |
2015
|
|---|---|
| Authors: | Choi, Youngsoo ; Jordan, Steven J. ; Lee, Wonchang |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 51.2015, 3, Suppl.3, p. 34-51
|
| Subject: | ad hoc Black-Scholes (AHBS) | asymmetric volatility sneer | data usage | implied volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Black-Scholes-Modell | Black-Scholes model | Informationswert | Information value | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011404184