Option prices and model-free measurement of implied herd behavior in stock markets
Year of publication: |
2015
|
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Authors: | Linders, Daniël ; Dhaene, Jan ; Schoutens, Wim |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-35
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Subject: | Comonotonicity | herd behavior | HIX | index options | market fear | model-free measures | VIX | Herdenverhalten | Herding | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Aktienoption | Stock option | Aktienmarkt | Stock market | Börsenkurs | Share price | Volatilität | Volatility | Messung | Measurement |
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