The Nelson-Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
Authors: | Han, Qian ; Zhao, Bin |
---|---|
Subject: | term structure of option prices | market efficiency |
-
The forward premium puzzle only emerges gradually
Bernoth, Kerstin, (2007)
-
Testing market efficiency with the pricing kernel
Barone-Adesi, Giovanni, (2019)
-
Media coverage and food commodities : agricultural futures prices and volatility effects
Almánzar, Miguel, (2017)
- More ...
-
The Nelson-Siegel model of the term structure of option implied volatility and volatility components
Guo, Biao, (2014)
-
Guo, Biao, (2014)
-
Han, Qian, (2010)
- More ...