The log-moment formula for implied volatility
Vimal Raval, Antoine Jacquier
| Year of publication: |
2023
|
|---|---|
| Authors: | Raval, Vimal ; Jacquier, Antoine |
| Subject: | implied volatility | moment formula | variance swaps | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Swap |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014370644