An empirical test of the Hull-White option pricing model
Year of publication: |
1998
|
---|---|
Authors: | Corrado, Charles Joseph |
Other Persons: | Su, Tie (contributor) |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 18.1998, 4, p. 363-378
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Index-Futures | Index futures | Volatilität | Volatility | USA | United States | 1995 |
-
Rinky, (2023)
-
Volatility and the pricing kernel
Schreindorfer, David, (2022)
-
Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R., (2003)
- More ...
-
S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
Corrado, Charles Joseph, (1996)
-
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
Corrado, Charles Joseph, (1997)
-
Official foreign exchange market intervention by the industrialized countries in the 1970's
Corrado, Charles Joseph, (1985)
- More ...