Implied volatility index of KOSPI200 : information contents and properties
Year of publication: |
2012
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Authors: | Ryu, Doojin |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 48.2012, Suppl.2, p. 24-39
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Subject: | Black-Scholes | GARCH | implied volatility | KOSPI200 Options | RiskMetrics | VKOSPI | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | Informationswert | Information value |
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