Option prices and model-free measurement of implied herd behavior in stock markets
Daniël Linders, Jan Dhaene, Wim Schoutens
| Year of publication: |
2015
|
|---|---|
| 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
|
| Subject: | Comonotonicity | herd behavior | HIX | index options | market fear | model-free measures | VIX | Herdenverhalten | Herding | Index-Futures | Index futures | Messung | Measurement | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Volatilität | Volatility | Optionsgeschäft | Option trading |
| 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/10011333475