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  • Search: subject:"Implied Volatility Functions"
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Year of publication
Subject
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Black-Scholes Model 1 Black-Scholes model 1 Black-Scholes-Modell 1 Heston's Model 1 Implied Volatility Functions 1 Ito Formula 1 Linear Regression Approach 1 Option Pricing 1 Option pricing theory 1 Optionspreistheorie 1 Regression analysis 1 Regressionsanalyse 1 Risk-Neutral Density Functions 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 fonctions de volatilité implicite 1 implied volatility functions 1 out-of-sample forecasting 1 parameter stability 1 prévision hors échantillon 1 stabilité des paramètres 1 valuation errors 1 évaluation des erreurs 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Christoffersen, Peter 1 Jacobs, Kris 1 Jagannathan, Raj 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1 Journal of mathematical finance 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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The Importance of the Loss Function in Option Valuation
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Which loss function should be used when estimating and evaluating option valuation models? Many different functions have been suggested, but no standard has emerged. We emphasize that consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in...
Persistent link: https://www.econbiz.de/10005100937
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