MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
Year of publication: |
2011
|
---|---|
Authors: | FUKASAWA, M. ; ISHIDA, I. ; MAGHREBI, N. ; OYA, K. ; UBUKATA, M. ; YAMAZAKI, K. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 04, p. 433-463
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Model-free implied volatility index | volatility forecasting | volatility surface | variance swaps |
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