Testing the predictive ability of corridor implied volatility under GARCH models
Shan Lu
| Year of publication: |
2019
|
|---|---|
| Authors: | Lu, Shan |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 26.2019, 2, p. 129-168
|
| Subject: | Corridor implied volatility | GARCH models | Model-free implied volatility | Black-Scholes implied volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Prognoseverfahren | Forecasting model | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-018-9262-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012308051