Ad-Hoc Black-Scholes vis-à-vis TSRV-based Black-Scholes : evidence from Indian options market
Year of publication: |
2018
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Authors: | Dixit, Alok ; Singh, Shivam |
Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 16.2018, 1, p. 57-88
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Subject: | Black-Scholes | Ad-Hoc Black-Scholes | Implied volatility | Volatility smile | Two scale realized volatility | Tick-by-tick data | Indian options market | Indien | India | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
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