Liquidity-free implied volatilities : an approach using conic finance
Matteo Michielon, Asma Khedher, Peter Spreij
| Year of publication: |
2021
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|---|---|
| Authors: | Michielon, Matteo ; Khedher, Asma ; Spreij, Peter |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 8.2021, 4, p. 1-27
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| Subject: | Bid-ask spread | conic finance | distorted expectation | implied volatility | liquidity | Volatilität | Volatility | Geld-Brief-Spanne | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Liquidität | Liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786321500419 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815112