Attention
Option trading strategies based on semi-parametric implied volatility surface prediction
Year of publication: |
2009-08
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Authors: | Audrino, Francesco ; Colangelo, Dominik |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Option Trading Strategies | Implied Volatility Surface | Option Pricing | Forecasting | Boosting | Regression Trees |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 31 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Forecasting Implied Volatility Surfaces
Audrino, Francesco, (2007)
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Splines for Financial Volatility
Audrino, Francesco, (2007)
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Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
Audrino, Francesco, (2012)
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Realized Correlation Tick-by-Tick
Corsi, Fulvio, (2007)
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Splines for Financial Volatility
Audrino, Francesco, (2007)
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Corsi, Fulvio, (2008)
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