On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Year of publication: |
2014
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Authors: | Padhi, Puja ; Shaikh, Imlak |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Press Technika, ISSN 1611-1699, ZDB-ID 2208925-1. - Vol. 15.2014, 5, p. 915-934
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Subject: | call implied volatility | put implied volatility | realized volatility | historical volatility | measurement errors | two stage least squares | instrumental variable | Volatilität | Volatility | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Zeitreihenanalyse | Time series analysis |
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