Errors in implied volatility estimation
Year of publication: |
2003
|
---|---|
Authors: | Hentschel, Ludger |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 38.2003, 4, p. 779-810
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Geld-Brief-Spanne | Bid-ask spread | USA | United States |
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