Implied volatility and the risk-free rate of return in options markets
Year of publication: |
January 2015
|
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Authors: | Bianconi, Marcelo ; McLachlan, Scott ; Sammon, Marco |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 1-26
|
Subject: | Re-pricing options | Forecasting volatility | Seemingly unrelated regression | Implied volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income |
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