Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data
Christian Walter ...
| Year of publication: |
02 May 2000 ; [Elektronische Ressource]
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|---|---|
| Other Persons: | Walter, Christian (contributor) ; García López, José A. (contributor) |
| Institutions: | Federal Reserve Bank of San Francisco (contributor) |
| Publisher: |
San Francisco, CA : Federal Reserve Bank of San Francisco |
| Subject: | Optionspreistheorie | Option pricing theory | Devisenoption | Currency option | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | US-Dollar | US dollar | Yen | Deutsche Mark | Theorie | Theory | Korrelation | Correlation | 1990-1997 |
| Extent: | Online-Ressource, 45 p. = 679 KB, text ill |
|---|---|
| Series: | Working papers series / Federal Reserve Bank of San Francisco. - San Francisco, Calif., ZDB-ID 2187821-3. - Vol. 2000.02] |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001577552