Exploring the role of the realized return distribution in the formation of the implied volatility smile
Year of publication: |
2012
|
---|---|
Authors: | Chalamandaris, Georgios ; Rompolis, Leonidas S. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 4, p. 1028-1044
|
Publisher: |
Elsevier |
Subject: | Filtered Historical Simulation | Risk-neutral cumulants | Realized cumulants | Adaptive expectations |
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