Using interpolated implied volatility for analysing exogenous market changes
Matúš Maciak, Sebastiano Vitali
| Year of publication: |
2024
|
|---|---|
| Authors: | Maciak, Matúš ; Vitali, Sebastiano |
| Subject: | Artificial options | Changepoint detection | Constant time to maturity | Exogenous effects | Implied volatility | Panel data | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Panel | Panel study | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-024-00505-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636790