Modelling the implied volatility surface based on Shanghai 50ETF options
Jinzhong Wang, Shijiang Chen, Qizhi Tao, Ting Zhang
| Year of publication: |
August 2017
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| Authors: | Wang, Jinzhong ; Chen, Shijiang ; Tao, Qizhi ; Zhang, Ting |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 295-301
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| Subject: | Dynamic factor model | Implied volatility surface | Kalman filter | Ornstein-Uhlenbeck process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Shanghai | Zustandsraummodell | State space model | Optionsgeschäft | Option trading | Aktienmarkt | Stock market | Index-Futures | Index futures | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.04.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011761005