The term structure of option-implied volatility and future realized volatility
Yukun Shi, Hao Zhang, Yaofei Xu, and Yang Zhao
| Year of publication: |
2019
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|---|---|
| Authors: | Shi, Yukun ; Zhang, Hao ; Xu, Yaofei ; Zhao, Yang |
| 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. 55.2019, 13, p. 2997-3022
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| Subject: | delta hedging strategy | future realized volatility | Nelson-Siegel model | option implied volatility | straddle trading strategy | Volatilität | Volatility | Hedging | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading | Japan | Prognoseverfahren | Forecasting model | Zinsderivat | Interest rate derivative | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1612360 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211068