Showing 1 - 4 of 4
This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any forecasting object which is a twice differentiable function of...
Persistent link: https://www.econbiz.de/10013113347
Persistent link: https://www.econbiz.de/10009385092
Persistent link: https://www.econbiz.de/10011507021
This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any forecasting object that is a twice differentiable function of...
Persistent link: https://www.econbiz.de/10014025539