Model-free implied volatility : from surface to index
M. Fukasawa; I. Ishida; N. Maghrebi; K. Oya ; M. Ubukata ...
| Year of publication: |
2011
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|---|---|
| Authors: | Fukasawa, Masaaki ; Ishida, I. ; Maghrebi, N. ; Oya, Kosuke ; Ubukata, Masato |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 4, p. 433-463
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| Subject: | Model-free implied volatility index | volatility forecasting | volatility surface | variance swaps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Derivat | Derivative | Index-Futures | Index futures | Black-Scholes-Modell | Black-Scholes model | Aktienindex | Stock index |
| 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://www.econbiz.de/10009269385