Analysis of market volatility via a dynamically purified option price process
Year of publication: |
2014
|
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Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 3, p. 1-19
|
Subject: | Econometrics | implied volatility | volatility index | approximation of missing data | dynamic forecasting | purified option prices | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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