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  • Search: subject:"Model-free implied volatility index"
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Subject
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Model-free implied volatility index 2 variance swaps 2 volatility forecasting 2 volatility surface 2 Aktienindex 1 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Forecasting model 1 Index futures 1 Index-Futures 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Prognoseverfahren 1 Stock index 1 Volatility 1 Volatilität 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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FUKASAWA, M. 1 Fukasawa, Masaaki 1 ISHIDA, I. 1 Ishida, I. 1 MAGHREBI, N. 1 Maghrebi, N. 1 OYA, K. 1 Oya, Kosuke 1 UBUKATA, M. 1 Ubukata, Masato 1 YAMAZAKI, K. 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463
We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's...
Persistent link: https://www.econbiz.de/10009194523
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Cover Image
Model-free implied volatility : from surface to index
Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463
Persistent link: https://www.econbiz.de/10009269385
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