An analysis of implied volatility jump dynamics : novel functional data representation in crude oil markets
Year of publication: |
July 2015
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Authors: | Kearney, Fearghal ; Murphy, Finbarr ; Cummins, Mark |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 33.2015, p. 199-216
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Subject: | Commodity options | Implied volatility | Jump diffusion models | Functional data analysis | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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