The Implied Volatility Term Structure of Stock Index Options
Year of publication: |
2011
|
---|---|
Authors: | Mixon, Scott |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Index-Futures | Index futures | Zinsstruktur | Yield curve | Schätzung | Estimation | Erwartungsbildung | Expectation formation | Welt | World | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (40 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Empirical Finance, Vol. 14, No. 3, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2005 erstellt |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options
Krylova, Elizaveta, (2021)
-
Hedging Strategy Comparisons of Volatility Index Options Using Diffusion Models
Lin, Jun-Biao, (2016)
-
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu, (2021)
- More ...
-
Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures
Mixon, Scott, (2019)
-
US experience with futures transaction taxes
Mixon, Scott, (2021)
-
Option markets and implied volatility : past versus present
Mixon, Scott, (2009)
- More ...