Arbitrage-Free Prediction of the Implied Volatility Smile
Year of publication: |
2014
|
---|---|
Authors: | Dellaportas, Petros |
Other Persons: | Mijatovic, Aleksandar (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (18 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 22, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2469770 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen, (2021)
-
The empirical performance of option based densities of foreign exchange
Craig, Ben R., (2002)
-
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S., (2015)
- More ...
-
On the drawdown of completely asymmetric Levy processes
Mijatovic, Aleksandar, (2011)
-
A note on essential smoothness in the Heston model
Forde, Martin, (2011)
-
PREFACE — Spectral and Cubature Methods in Finance and Econometrics
Levendorskiĭ, Sergei, (2011)
- More ...