Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China
Cong Sui, Peter Lung and Mo Yang
| Year of publication: |
2020
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| Authors: | Sui, Cong ; Lung, Peter P. ; Yang, Mo |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 11, p. 2625-2638
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| Subject: | commodity futures options | implied volatilities | term structure | weighted least squares | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | China | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Sojabohne | Soybean | Prognoseverfahren | Forecasting model | Kleinste-Quadrate-Methode | Least squares method | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1616543 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262896