Arbitrage-free implied volatility surfaces for options on single stock futures
Year of publication: |
2013
|
---|---|
Authors: | Kotzé, Antonie ; Labuschagne, Coenraad C.A. ; Nair, Merell L. ; Padayachi, Nadine |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 26.2013, C, p. 380-399
|
Publisher: |
Elsevier |
Subject: | Volatility surface | Options on single stock futures | Quadratic deterministic function |
-
Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie, (2013)
-
To sigmoid-based functional description of the volatility smile
Itkin, Andrey, (2015)
-
A continuous-time inequality measure applied to financial risk: The case of the European Union
D'Amico, Guglielmo, (2018)
- More ...
-
Arbitrage-free implied volatility surfaces for options on single stock futures
Kotzé, Antonie, (2013)
-
Arbitrage-Free Implied Volatility Surfaces for Options on Single Stock Futures
Kotze, Antonie, (2013)
-
Implied and local volatility surfaces for South African index and foreign exchange options
Kotzé, Antonie, (2015)
- More ...