A novel method for arbitrage-free option surface construction
Greg Orosi
| Year of publication: |
2019
|
|---|---|
| Authors: | Orosi, Greg |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 14.2019, 4, p. 1-14
|
| Subject: | Arbitrage-free | European option | option surface | index option | VIX index | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495219500210 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012226655