No country for old distributions? : on the comparison of implied option parameters between the Brownian motion and variance gamma process
Markus Ulze, Johannes Stadler, Andreas W. Rathgeber
| Year of publication: |
2021
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| Authors: | Ulze, Markus ; Stadler, Johannes ; Rathgeber, Andreas W. |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 82.2021, p. 163-184
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| Subject: | Buyer-/seller-motivated trades | Implied volatility determinants | Implied volatility smile | Lévy process | Variance gamma process | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2021.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013258472