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  • Search: subject:"Volatility Estimation Models"
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Year of publication
Subject
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European Type Vanilla Options 1 Forecast Comparison 1 Historical Volatility 1 Option Pricing 1 Volatility Estimation Models 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Gozgor, Giray 1 Nokay, Pinar 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL
Gozgor, Giray; Nokay, Pinar - Volkswirtschaftliche Fakultät, … - 2011
By using the daily values of USD-TL and Euro-TL denominated European call and put option contracts, which are traded in the over-the-counter market, this study investigates whether there is a significant difference among the premiums of the contracts forecasted by historical volatility, EWMA(l...
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