Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting
Year of publication: |
2015
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Authors: | Choi, Youngsoo ; Jordan, Steven J. ; Lee, Wonchang |
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. 51.2015, 3, Suppl.3, p. 34-51
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Subject: | ad hoc Black-Scholes (AHBS) | asymmetric volatility sneer | data usage | implied volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Black-Scholes-Modell | Black-Scholes model | Informationswert | Information value | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
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