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  • Search: subject:"Quadratic deterministic function"
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Subject
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Options on single stock futures 2 Quadratic deterministic function 2 Volatility surface 2 Aktienoption 1 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Futures 1 Option pricing theory 1 Optionspreistheorie 1 Stock option 1 Volatility 1 Volatilität 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Kotzé, Antonie 2 Nair, Merell L. 2 Padayachi, Nadine 2 Labuschagne, Coenraad C. A. 1 Labuschagne, Coenraad C.A. 1
Published in...
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The North American Journal of Economics and Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie; Labuschagne, Coenraad C.A.; Nair, Merell L. - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 380-399
-free implied volatility surface, by using a quadratic deterministic function, for two stock indices and ten single stock futures …
Persistent link: https://www.econbiz.de/10010730260
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Cover Image
Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie; Labuschagne, Coenraad C. A.; Nair, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 380-399
Persistent link: https://www.econbiz.de/10010367577
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