Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Year of publication: |
2022
|
---|---|
Authors: | Galeeva, Roza ; Ronn, Ehud I. |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 2, p. 173-187
|
Subject: | Bachelier vs. Black option models | Oil market volatility “smile” | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Ölmarkt | Oil market | Rohstoffderivat | Commodity derivative | Optionsgeschäft | Option trading |
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