Modeling the dynamics of correlations among implied volatilities
Robert Engle and Stephen Figlewski
| Year of publication: |
2015
|
|---|---|
| Authors: | Engle, Robert F. ; Figlewski, Stephen |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 19.2015, 3, p. 991-1018
|
| Subject: | Korrelation | Correlation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| 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/10011405161