Realized Volatility Skewness and Kurtosis Implied by Index Option Prices
Year of publication: |
[2023]
|
---|---|
Authors: | Rolloos, Frido |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (10 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 23, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4398414 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Kim, Joocheol, (2014)
-
Implied volatility and skewness surface
Feunou, Bruno, (2017)
-
Ielpo, Florian, (2014)
- More ...
-
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
Rolloos, Frido, (2023)
-
Delta-Hedging and Variance Swap Replication
Rolloos, Frido, (2019)
-
Rolloos, Frido, (2019)
- More ...