The optimal corridor for implied volatility : from periods of calm to turmoil
Silvia Muzzioli (Department of Economics "Marco Biagi", University of Modena and Reggio Emilia, Modena, Italy)
| Year of publication: |
September/October 2015
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| Authors: | Muzzioli, Silvia |
| Published in: |
Journal of economics & business. - Amsterdam [u.a.] : Elsevier, ISSN 0148-6195, ZDB-ID 716757-X. - Vol. 81.2015, p. 77-94
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| Subject: | Corridor implied volatility | Model-free implied volatility | Volatility forecasting | Financial turmoil | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconbus.2015.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011476102