Collective behavior and options volatility smile : an agent-based explanation
Year of publication: |
2014
|
---|---|
Authors: | Liu, Yi-fang ; Zhang, Wei ; Xu, Hai-chuan |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 39.2014, p. 232-239
|
Subject: | Collective behavior | Implied volatility smile | Agent-based modeling | Option pricing | Artificial financial market | Volatilität | Volatility | Agentenbasierte Modellierung | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process |
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