Equivalent black volatilites
Year of publication: |
1999
|
---|---|
Authors: | Hagen, Patrick S. ; Woodward, Diana E. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 6.1999, 3, p. 147-157
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Theorie | Theory |
-
Time-varying volatility estimates in option pricing : can superior estimates be obtained?
Brailsford, Timothy J., (1993)
-
Taming the skew : higher-order moments in modeling asset price processes in finance
Das, Sanjiv R., (1997)
-
An analysis of the predictive ability of the Black-Scholes option pricing model in the Netherlands
Hand, Megan, (1994)
- More ...
-
Explicit Pricing of Quadratic Derivatives Under SABR
Hagan, Patrick S., (2019)
-
Hagan, Patrick S., (2020)
-
Digital Option Valuation With the SABR Model
Hagan, Patrick S., (2020)
- More ...