Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Joocheol Kim & Hyun-Oh Kim
| Year of publication: |
2014
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|---|---|
| Authors: | Kim, Joocheol ; Kim, Hyun-Oh |
| Published in: |
Global economic review. - Abingdon, Oxfordshire : Routledge, ISSN 1226-508X, ZDB-ID 1398828-1. - Vol. 43.2014, 3, p. 269-284
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| Subject: | Heavy tail | option pricing | tail index | implied volatility | generalized logistic distribution | generalized extreme value distribution | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Aktienindex | Stock index | Optionsgeschäft | Option trading | Schätzung | Estimation | Kapitaleinkommen | Capital income | Wahrscheinlichkeitsrechnung | Probability theory |
| 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/10010509739