Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets
Ernest N. Biktimirov and Chunrong Wang
| Year of publication: |
2016
|
|---|---|
| Authors: | Biktimirov, Ernest N. ; Wang, Chunrong |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 24.2017, 3, p. 42-68
|
| Subject: | Volatilität | Volatility | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Asien | Asia | Europa | Europe | Nordamerika | North America | ARCH-Modell | ARCH model | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011687342