Testing the volatility term structure using option hedging criteria
Year of publication: |
2000
|
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Authors: | Engle, Robert F. ; Rosenberg, Joshua V. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 8.2000, 1, p. 10-28
|
Subject: | Zinsstruktur | Yield curve | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Hedging | Schätzung | Estimation | Theorie | Theory | 1982-1996 |
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