A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility with Rough Market Price of Volatility Risk
Year of publication: |
2023
|
---|---|
Authors: | Funahashi, Hideharu ; Kijima, Masaaki |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | Optionsgeschäft | Option trading |
Description of contents: | Abstract [papers.ssrn.com] ; Abstract [doi.org] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 3, 2017 erstellt Volltext nicht verfügbar |
Other identifiers: | 10.2139/ssrn.2962310 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Are price limits cooling off agricultural futures markets?
He, Xinyue, (2022)
-
Nandi, Saikat, (1999)
-
Finanzinnovationen und Basisobjekte : die Aufnahme des Optionshandels an der Deutschen Terminbörse
Stöhr, Norbert, (1995)
- More ...
-
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
Funahashi, Hideharu, (2013)
-
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options
Funahashi, Hideharu, (2014)
-
An Analytical Approximation for Pricing VWAP Options
Funahashi, Hideharu, (2019)
- More ...